Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37118 
Authors: 
Year of Publication: 
2009
Series/Report no.: 
Diskussionsbeitrag No. 425
Publisher: 
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
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.
Subjects: 
Local-Whittle method
Spurious long memory
Change point
Aggregation
JEL: 
C12
C22
Document Type: 
Working Paper

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