Publication:
Markov chain test for time dependence and homogeneity: an analytical and empirical evaluation

dc.contributor.departmentDepartment of Business Administration
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorTan, Barış
dc.contributor.kuauthorYılmaz, Kamil
dc.contributor.kuprofileFaculty Member
dc.contributor.kuprofileFaculty Member
dc.contributor.yokid28600
dc.contributor.yokid6111
dc.date.accessioned2024-11-09T12:43:48Z
dc.date.issued2002
dc.description.abstractThis paper evaluates the small and large sample properties of Markov chain time-dependence and time-homogeneity tests. First, we present the Markov chain methodology to investigate various statistical properties of time series. Considering an auto-regressive time series and its associated Markov chain representation, we derive analytical measures of the statistical power of the Markov chain time-dependence and time-homogeneity tests. We later use Monte Carlo simulations to examine the small-sample properties of these tests. It is found that although Markov chain time-dependence test has desirable size and power properties, time-homogeneity test does not perform well in statistical size and power calculations.
dc.description.fulltextYES
dc.description.indexedbyWoS
dc.description.indexedbyScopus
dc.description.issue3
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.sponsorshipN/A
dc.description.versionAuthor's final manuscript
dc.description.volume137
dc.formatpdf
dc.identifier.doi10.1016/S0377-2217(01)00081-9
dc.identifier.embargoNO
dc.identifier.filenameinventorynoIR01090
dc.identifier.issn0377-2217
dc.identifier.linkhttps://doi.org/10.1016/S0377-2217(01)00081-9
dc.identifier.quartileQ1
dc.identifier.scopus2-s2.0-0037117187
dc.identifier.urihttps://hdl.handle.net/20.500.14288/2374
dc.identifier.wos173466200005
dc.keywordsTime series
dc.keywordsMarkov chain
dc.keywordsMonte Carlo simulation
dc.keywordsEfficient market hypothesis
dc.languageEnglish
dc.publisherElsevier
dc.relation.urihttp://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/1778
dc.sourceEuropean Journal of Operational Research
dc.subjectBusiness and economics
dc.subjectEconomics
dc.titleMarkov chain test for time dependence and homogeneity: an analytical and empirical evaluation
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.authorid0000-0002-2584-1020
local.contributor.authorid0000-0003-2455-2099
local.contributor.kuauthorTan, Barış
local.contributor.kuauthorYılmaz, Kamil
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Business Administration
local.publication.orgunit2Department of Economics
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relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3

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