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Title:Distinguishing between long-range dependence and deterministic trends PDF Logo
Authors:Sibbertsen, Philipp
Venetis, Ioannis
Issue Date:2003
Series/Report no.:Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2003,16
Abstract:We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators provides the desired test. Its asymptotic distribution depends on the true memory parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three industrialized countries.
Subjects:Long memory
trends
log-periodogram regression
inflation rates
JEL:C12
C22
C14
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475, TU Dortmund

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