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Tests of bias in log-periodogram regression

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Author Info
Davidson, James
Sibbertsen, Philipp

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Abstract

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4V2NK7T-1/2/e2bc810cb985541bf86a1255b99664fd
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 102 (2009)
Issue (Month): 2 (February)
Pages: 83-86
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Handle: RePEc:eee:ecolet:v:102:y:2009:i:2:p:83-86

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Related research
Keywords: Long memory Log periodogram regression Hausman test;

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References listed on IDEAS
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  1. Donald W. K. Andrews & Patrik Guggenberger, 2003. "A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter," Econometrica, Econometric Society, vol. 71(2), pages 675-712, March. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ulrike Busch & Dieter Nautz, 2009. "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," SFB 649 Discussion Papers SFB649DP2009-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  2. Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-327, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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