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SIZE AND POWER PROPERTIES OF THE AH TEST OF EVOLUTIONARY CHANGE

Published online by Cambridge University Press:  27 March 2002

Phillip Wild
Phillip Wild
Affiliation:
University of Manchester and CEPM, University of Queensland
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Extract

We investigate the size and power properties of the AH test of evolutionary change. This involves examining whether the size results are sensitive to both the number of individual frequencies estimated and the spectral shape adopted under the null hypothesis. The power tests examine whether the test has good power to detect shifts in both spectral position (variance) and spectral shape (autocovariance structure).

Keywords

Cusum TestEvolutionary ChangeAggregate Homogeneity
Type
Research Article
Information
Macroeconomic Dynamics , Volume 5 , Issue 5 , November 2001 , pp. 748 - 763
Copyright
© 2001 Cambridge University Press

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