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. The use of the tests in conjunction with tests of significance of the long memory parameter is illustrated by Monte Carlo experiments.

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Year of publication:	2005
Authors:	Davidson, James E. H. ; Sibbertsen, Philipp
Publisher:	Hannover : Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Long memory \| log-periodogram estimation \| Hausman test

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Series:	Diskussionsbeitrag ; 317
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	494461985 [GVK] hdl:10419/22429 [Handle] RePEc:han:dpaper:dp-317 [RePEc]
Classification:	C22 - Time-Series Models ; C12 - Hypothesis Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010262938