Tests of Bias in Log-Periodogram Regression

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.

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Year of publication:	2008
Authors:	Davidson, James ; Sibbertsen, Philipp
Institutions:	Business School, University of Exeter
Subject:	Long memory \| log periodogram regression \| Hausman test

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0805
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008852472