Tests of Bias in Log-Periodogram Regression
AbstractThis 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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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 0805.
Date of creation: 2008
Date of revision:
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More information through EDIRC
Long memory; log periodogram regression; Hausman test.;
Other versions of this item:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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