GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), … - 2002
The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated...
