Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37119
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dc.contributor.authorKuswanto, Herien_US
dc.contributor.authorSibbertsen, Philippen_US
dc.date.accessioned2009-09-18en_US
dc.date.accessioned2010-08-03T13:10:42Z-
dc.date.available2010-08-03T13:10:42Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37119-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisher|aWirtschaftswiss. Fak., Leibniz Univ. |cHannoveren_US
dc.relation.ispartofseries|aDiscussion papers // School of Economics and Management of the Hanover Leibniz University |x427en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keyworddirected-Wald testen_US
dc.subject.keywordESTARen_US
dc.subject.keywordlong memoryen_US
dc.subject.stwAutokorrelationen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwTheorieen_US
dc.titleTesting for long memory against ESTAR nonlinearitiesen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn609086685en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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