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.
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 language | English |
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Article number | 7 |
Pages (from-to) | 115-141 |
Number of pages | 27 |
Journal | Journal of Time Series Econometrics |
Volume | 7 |
Issue number | 2 |
Early online date | 21 May 2015 |
DOIs | |
Publication status | Published - Jul 2015 |
Keywords
- long memory
- skip-sampling
- log-periodogram regression
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Profiles
-
Rambaccussing, Dooruj
- University of Dundee School of Business - Lecturer (Teaching and Research)
Person: Academic