Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37119 
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dc.contributor.authorKuswanto, Herien
dc.contributor.authorSibbertsen, Philippen
dc.date.accessioned2009-09-18-
dc.date.accessioned2010-08-03T13:10:42Z-
dc.date.available2010-08-03T13:10:42Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x427en
dc.subject.jelC12en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keyworddirected-Wald testen
dc.subject.keywordESTARen
dc.subject.keywordlong memoryen
dc.subject.stwAutokorrelationen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwNichtlineares Verfahrenen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.titleTesting for long memory against ESTAR nonlinearities-
dc.type|aWorking Paperen
dc.identifier.ppn609086685en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-427en

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