Variance-Ratio Tests: Small-Sample Properties With an Application to International Output Data
研究方差比统计量在小样本中渐近近似的准确性，以及多期检验导致的规模扭曲问题，提出联合检验和精确推断的蒙特卡洛方法，并用九国实际产出数据说明。
Abstract Two aspects of statistical inference using variance-ratio statistics are studied, (1) the accuracy of asymptotic approximations in small samples and (2) the size distortion arising from searching over many horizons in deciding whether to reject a model. A joint test combining variance-ratio statistics at various horizons is proposed, and a Monte Carlo procedure for conducting exact inference is provided. The real output data of nine countries are used to discuss these issues. KEY WORDS: Asymptotic testingBreaking trendsJoint testingMarkov switchingMonte CarloSize distortion