Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2020-08-13T16:30:13Z | - |
dc.date.available | 2020-08-13T16:30:13Z | - |
dc.date.issued | 2020 | * |
dc.identifier.issn | 0165-1765 | * |
dc.identifier.other | OAK-27230 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/254956 | - |
dc.description.abstract | We are interested in testing regime mean difference in some recently developed indexes which try to characterize alternating regimes: uncertainty indexes for economic expansion and recession and volatility spillover indexes for financial crisis and non-crisis. To account for strong serial correlation and conditional heteroskedasticity apparent in the index data sets, we consider the Kiefer–Vogelsang–Bunzell (KVB) self-normalization method for normalization of the estimated mean difference to construct a t-test. The limiting null distribution of the proposed test is shown to be different from the distribution derived by Kiefer–Vogelsang–Bunzel for a standard regression model. The proposed test is shown to have better finite sample size than the conventional t-test based on the Newey–West HAC standard error. Using the proposed test, we show a statistically significant counter-cyclical feature of uncertainty index and sensitivity of volatility spillover index to financial crisis. © 2019 | * |
dc.language | English | * |
dc.publisher | Elsevier B.V. | * |
dc.subject | Financial crisis | * |
dc.subject | Recession | * |
dc.subject | Self-normalization | * |
dc.subject | Uncertainty index | * |
dc.subject | Volatility spillover index | * |
dc.title | A mean-difference test based on self-normalization for alternating regime index data sets | * |
dc.type | Article | * |
dc.relation.volume | 193 | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.journaltitle | Economics Letters | * |
dc.identifier.doi | 10.1016/j.econlet.2019.01.007 | * |
dc.identifier.wosid | WOS:000551630000001 | * |
dc.identifier.scopusid | 2-s2.0-85062290935 | * |
dc.author.google | Kim B.G. | * |
dc.author.google | Shin D.W. | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |