TY - JOUR

T1 - Construction of the criterion of a checking of the presence of structural shifts in researching of time series

AU - Хрущев, Сергей Евгеньевич

AU - Логачёв, Артём Васильевич

AU - Логачёва, Ольга

PY - 2019

Y1 - 2019

N2 - Well discuss a construction of the criterion (test) that allows us to check the hypothesis on the homogeneity and independence of sampling elements of random variables having the continuous distribution. The constructed criterion is exact and, in contrast to the various criteria of the series, does not require the imposition of conditions on the sample size and moments of random variables. The criterion does not depend on the distribution of the observed random variables and can be applied for samples of small volume also. This test is suitable for testing the hypothesis of homogeneity and independence of perturbations (errors) of regression models. The methodology for applying the developed criterion for revealing the structural shifts observed in time series is also described in the article. The structural shift in 2008 is revealed by revising of the dynamics of the Russian Federation gross domestic product in the period from 2000 to 2008 years

AB - Well discuss a construction of the criterion (test) that allows us to check the hypothesis on the homogeneity and independence of sampling elements of random variables having the continuous distribution. The constructed criterion is exact and, in contrast to the various criteria of the series, does not require the imposition of conditions on the sample size and moments of random variables. The criterion does not depend on the distribution of the observed random variables and can be applied for samples of small volume also. This test is suitable for testing the hypothesis of homogeneity and independence of perturbations (errors) of regression models. The methodology for applying the developed criterion for revealing the structural shifts observed in time series is also described in the article. The structural shift in 2008 is revealed by revising of the dynamics of the Russian Federation gross domestic product in the period from 2000 to 2008 years

UR - https://www.elibrary.ru/item.asp?id=37205248

M3 - Article

VL - 11-12

SP - 57

EP - 62

JO - Mathematical Methods in Economics and Finance (m2ef)

JF - Mathematical Methods in Economics and Finance (m2ef)

SN - 1971-6419

IS - 1

ER -