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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.
Year of publication:
2009
Authors: Davidson, James ; Sibbertsen, Philipp
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 2, p. 83-86
Publisher: Elsevier
Keywords: Long memory Log periodogram regression Hausman test
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005307706
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