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dc.contributor.authorKuswanto, Herien_US
dc.date.accessioned2009-08-04en_US
dc.date.accessioned2010-08-03T13:10:41Z-
dc.date.available2010-08-03T13:10:41Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37118-
dc.description.abstractWe 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.isoengen_US
dc.publisherWirtschaftswiss. Fak., Leibniz Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion papers // School of Economics and Management of the Hanover Leibniz University 425en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordLocal-Whittle methoden_US
dc.subject.keywordSpurious long memoryen_US
dc.subject.keywordChange pointen_US
dc.subject.keywordAggregationen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwTheorieen_US
dc.titleA new simple test against spurious long memory using temporal aggregationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn605915881en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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