DocumentCode
1654618
Title
Notice of Retraction
Wavelet test for change in nonparametric function with variance shift random walk noise
Author
Zhanshou Chen ; Zheng Tian ; Xiangzeng Liu
Author_Institution
Dept. of Appl. Math., Northwestern Polytech. Univ., Xi´an, China
Volume
1
fYear
2010
Firstpage
479
Lastpage
482
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Testing for possible structural changes in economic model is one of the principal objectives of econometric analysis. We propose a wavelet method to test the presence of an arbitrary number of discontinuities in an unknown nonparametric function observed with variance shift random walk noise. The critical values of the test are obtained by checking the absolute values of wavelet coefficients. We also establish the consistency of test and convergence rate of change point estimator. Finally, we show that all derived asymptotic results are still hold if break date of variance shift unknown.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Testing for possible structural changes in economic model is one of the principal objectives of econometric analysis. We propose a wavelet method to test the presence of an arbitrary number of discontinuities in an unknown nonparametric function observed with variance shift random walk noise. The critical values of the test are obtained by checking the absolute values of wavelet coefficients. We also establish the consistency of test and convergence rate of change point estimator. Finally, we show that all derived asymptotic results are still hold if break date of variance shift unknown.
Keywords
economics; regression analysis; time series; wavelet transforms; econometric analysis; economic model; nonparametric function; principal objectives; variance shift random walk noise; wavelet coefficients; wavelet test; change point; random walk process; variance shift; wavelets;
fLanguage
English
Publisher
ieee
Conference_Titel
Advanced Management Science (ICAMS), 2010 IEEE International Conference on
Conference_Location
Chengdu
Print_ISBN
978-1-4244-6931-4
Type
conf
DOI
10.1109/ICAMS.2010.5553128
Filename
5553128
Link To Document