Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37118 
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dc.contributor.authorKuswanto, Herien
dc.date.accessioned2009-08-04-
dc.date.accessioned2010-08-03T13:10:41Z-
dc.date.available2010-08-03T13:10:41Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x425en
dc.subject.jelC12en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordLocal-Whittle methoden
dc.subject.keywordSpurious long memoryen
dc.subject.keywordChange pointen
dc.subject.keywordAggregationen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.titleA new simple test against spurious long memory using temporal aggregation-
dc.type|aWorking Paperen
dc.identifier.ppn605915881en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-425en

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