Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37118
Authors: 
Kuswanto, Heri
Year of Publication: 
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

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