Show simple item record

dc.contributor.authorRambaccussing, Dooruj
dc.contributor.authorDavidson, James
dc.date.accessioned2015-08-06T15:32:05Z
dc.date.available2015-08-06T15:32:05Z
dc.date.issued2015-01
dc.identifier.urihttp://hdl.handle.net/10943/689
dc.description.abstractThis paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and composite test procedure described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.en
dc.language.isoenen
dc.publisherUniversity of Dundeeen
dc.relation.ispartofseriesSIRE DISCUSSION PAPER;SIRE-DP-2015-81
dc.subjectlong memory
dc.subjectself-similarity
dc.subjectbootstrap
dc.titleA test of long memory hypothesis based on self-similarityen
dc.typeWorking Paperen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record


Copyright © 2015 SIRE - All Rights Reserved