Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37119
Authors: 
Kuswanto, Heri
Sibbertsen, Philipp
Year of Publication: 
2009
Series/Report no.: 
Discussion papers // School of Economics and Management of the Hanover Leibniz University 427
Abstract: 
We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed-Wald statistic to overcome the problem of restricted parameters under the alternative. The test is derived from two basic model specifications where the first is the standard model based on an auxiliary regression and the second allows the parameter to appear as a nuisance parameter in the transition function. A simulation study indicates that both approaches lead to tests with good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is shown to have more power.
Subjects: 
directed-Wald test
ESTAR
long memory
JEL: 
C12
C22
Document Type: 
Working Paper

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