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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kuswanto, Heri | | en_US |
| dc.date.accessioned | | 2009-08-04 | | en_US |
| dc.date.accessioned | | 2010-08-03T13:10:41Z | | - |
| dc.date.available | | 2010-08-03T13:10:41Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37118 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Wirtschaftswiss. Fak., Leibniz Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 425 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Local-Whittle method | | en_US |
| dc.subject.keyword | | Spurious long memory | | en_US |
| dc.subject.keyword | | Change point | | en_US |
| dc.subject.keyword | | Aggregation | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A new simple test against spurious long memory using temporal aggregation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 605915881 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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