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A New Simple Test Against Spurious Long MemoryUsing Temporal Aggregation

We have developed a new test against spurious long memory based on the invarianceof long memory parameter to aggregation. By using the local Whittleestimator, the statistic takes the supremum among combinations of paired aggregatedseries. Simulations show that the test performs good in nite samplesizes, and is able to distinguish long memory from spurious processes with excellentpower.[...]
Year of publication:
2009-08-01
Authors: Kuswanto, Heri
Institutions: Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject: Long-memory-Prozess | Aggregation | Invarianz | invariance
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  • 1 Introduction
  • 2 Main Result
  • 3 Simulation
  • 4 Empirical Application
  • 5 Conclusion
  • 6 Appendix
Persistent link: https://www.econbiz.de/10005867306
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