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A two-sample test for comparison of long memory parameters

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  • Lavancier, Frédéric
  • Philippe, Anne
  • Surgailis, Donatas

Abstract

We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in Giraitis et al. [L. Giraitis, R. Leipus, A. Philippe, A test for stationarity versus trends and unit roots for a wide class of dependent errors, Econometric Theory 21 (2006) 989-1029]. The two samples have the same length and can be mutually independent or dependent. In the latter case, the test statistic is modified to make it asymptotically free of the long-run correlation coefficient between the samples. To diminish the sensitivity of the test on the choice of the bandwidth parameter, an adaptive formula for the bandwidth parameter is derived using the asymptotic expansion in Abadir et al. [K. Abadir, W. Distaso, L. Giraitis, Two estimators of the long-run variance: beyond short memory, Journal of Econometrics 150 (2009) 56-70]. A simulation study shows that the above choice of bandwidth leads to a good size of our comparison test for most values of fractional and ARMA parameters of the simulated series.

Suggested Citation

  • Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2010. "A two-sample test for comparison of long memory parameters," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2118-2136, October.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:9:p:2118-2136
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    References listed on IDEAS

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    1. K Abadir & W Distaso & L Giraitis, "undated". "Two estimators of the long-run variance," Discussion Papers 05/19, Department of Economics, University of York.
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    7. Giraitis, Liudas & Leipus, Remigijus & Philippe, Anne, 2006. "A Test For Stationarity Versus Trends And Unit Roots For A Wide Class Of Dependent Errors," Econometric Theory, Cambridge University Press, vol. 22(6), pages 989-1029, December.
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    3. Hira Koul & Nao Mimoto & Donatas Surgailis, 2016. "A goodness-of-fit test for marginal distribution of linear random fields with long memory," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(2), pages 165-193, February.
    4. Beutner, Eric & Wu, Wei Biao & Zähle, Henryk, 2012. "Asymptotics for statistical functionals of long-memory sequences," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 910-929.
    5. Gomez, Ledys Llasmin Salazar & Torres, Soledad & Kiseľák, Jozef & Fuders, Felix & Ishimura, Naoyuki & Yoshizawa, Yasukazu & Stehlík, Milan, 2022. "Long memory estimation in a non-Gaussian bivariate process," Applied Mathematics and Computation, Elsevier, vol. 420(C).

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