|
EconStor >
Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37118
|
| | |
| Title: | | A new simple test against spurious long memory using temporal aggregation  |
| Authors: | | Kuswanto, Heri |
| Issue Date: | | 2009 |
| Series/Report no.: | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 425 |
| Abstract: | | We have developed a new test against spurious long memory based on the invariance of long memory parameter to aggregation. By using the local Whittle estimator, the statistic takes the supremum among combinations of paired aggregated series. Simulations show that the test performs good in finite sample sizes, and is able to distinguish long memory from spurious processes with excellent power. Moreover, the empirical application gives further evidence that the observed long memory in German stock returns is spurious. |
| Subjects: | | Local-Whittle method Spurious long memory Change point Aggregation |
| JEL: | | C12 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/37118
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|