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http://dx.doi.org/10.5351/KJAS.2017.30.1.147

Test of homogeneity for transition probabilities in panel Markov chains  

Lee, Sung Duck (Department of Information and Statistics, Chungbuk National University)
Jo, Na Rae (Department of Information and Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.30, no.1, 2017 , pp. 147-157 More about this Journal
Abstract
The test of transition probabilities in panel Markov chains are introduced. We deal with the hypotheses whether panel Markov chains have the same transition probabilities or not for all times. We suggest a LR test statistic for the test and its limit distribution is derived. We perform a simulation study to examine the limit distribution of test statistics when the number of the individuals are large.
Keywords
panel Markov chains; test of homogeneity; transition probability; LR statistic; simulation;
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