Testing for Long Memory Against ESTAR Nonlinearities

We develop a Wald type test to distinguish between long memory and ESTARnonlinearity by using a directed-Wald statistic to overcome the problem of restricted parametersunder the alternative. The test is derived from two basic model specificationswhere the first is the standard model based on an auxiliary regression and the secondallows the parameter to appear as a nuisance parameter in the transition function.[...]

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Year of publication:	2009-08-01
Authors:	Kuswanto, Heri ; Sibbertsen, Philipp
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Empirie \| empiricism \| Alternative \| Long-memory-Prozess

Table of Contents
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1 Introduction
2 The Model
2.1 Long Memory Process
2.2 ESTAR Model
3 Testing Long Memory Against ESTAR
3.1 Test Statistic and Limit Distribution
3.2 First Approach
3.3 Second Approach
4 Monte Carlo
5 Empirical Application
6 Conclusions
References

Persistent link: https://www.econbiz.de/10005867303