A test of the long memory hypothesis based on self-similarity

James Davidson, Dooruj Rambaccussing

    Research output: Contribution to journalArticlepeer-review

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    Abstract

    This paper develops a new test of true versus spurious long memory, based on logperiodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and a composite test procedure is described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution
    under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.
    Original languageEnglish
    Article number7
    Pages (from-to)115-141
    Number of pages27
    JournalJournal of Time Series Econometrics
    Volume7
    Issue number2
    Early online date21 May 2015
    DOIs
    Publication statusPublished - Jul 2015

    Keywords

    • long memory
    • skip-sampling
    • log-periodogram regression

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