Narrow search
Showing 1 - 10 of 215
Cover Image
A study on spurious long memory in nonlinear time series models
Kuswanto, Heri (contributor);  … - 2008
This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by...
Persistent link: https://www.econbiz.de/10003784026
Cover Image
A unified framework for testing in the linear regression model under unknown order of fractional integration
Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - 2013
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...
Persistent link: https://www.econbiz.de/10010239725
Cover Image
Distinguishing between long-range dependence and deterministic trends
Sibbertsen, Philipp; Venetis, Ioannis - 2003
We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...
Persistent link: https://www.econbiz.de/10010509839
Cover Image
Log-periodogram estimation of the memory parameter of a long-memory process under trend
Sibbertsen, Philipp - 2001 - Version August 2001
We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered...
Persistent link: https://www.econbiz.de/10009776759
Cover Image
Change-in-mean tests in long-memory time series : a review of recent developments
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017
It is well known that standard tests for a mean shift are invalid in long-range dependent time series. Therefore, several long memory robust extensions of standard testing principles for a change-in-mean have been proposed in the literature. These can be divided into two groups: those that...
Persistent link: https://www.econbiz.de/10011667075
Cover Image
An overview of modified semiparametric memory estimation methods
Busch, Marie; Sibbertsen, Philipp - 2018 - This version: March 6, 2018
Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...
Persistent link: https://www.econbiz.de/10011813775
Cover Image
An overview of modified semiparametric memory estimation methods
Busch, Marie; Sibbertsen, Philipp - In: Econometrics : open access journal 6 (2018) 1, pp. 1-21
Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...
Persistent link: https://www.econbiz.de/10011823283
Cover Image
Robust multivariate local whittle estimation and spurious fractional cointegration
Becker, Janis; Leschinski, Christian; Sibbertsen, Philipp - 2019
and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …
Persistent link: https://www.econbiz.de/10012105358
Cover Image
A comparison of semiparametric tests for fractional cointegration
Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - 2019
There are various competing procedures to determine whether fractional cointegration is present in a multivariate time …
Persistent link: https://www.econbiz.de/10011957940
Cover Image
A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10011974604