The proof of Theorem 2.6 is based on a sequence of auxiliary lemmas. Let Zrn,t=(Mrn,t∨c)/σrn, with c specified in the subsequent lemmas. All convergences will be for n→∞, if not stated otherwise. Throughout the proofs, we will write r=rn, m=mn etc.
We have demonstrated that the sensitivity of rank-based tests for the null hypothesis of a constant distribution against changes in cross-sectional dependence can be improved if ranks are computed with respect to relevant subsamples. In this way, th…
Credentials & highlights
- Project Views