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Tests of Bias in Log-Periodogram Regression

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Author Info

  • James Davidson

    (Department of Economics, University of Exeter)

  • Philipp Sibbertsen

    (Department of Economics, University of Hannover)

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://people.exeter.ac.uk/cc371/RePEc/dpapers/DP0805.pdf
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Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 0805.

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Date of creation: 2008
Date of revision:
Handle: RePEc:exe:wpaper:0805

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Web page: http://business-school.exeter.ac.uk/about/departments/economics/
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Related research

Keywords: Long memory; log periodogram regression; Hausman test.;

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References

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  1. Efstathios Paparoditis, 2000. "Spectral Density Based Goodness-of-Fit Tests for Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(1), pages 143-176.
  2. Donald W.K. Andrews & Patrik Guggenberger, 2000. "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter," Cowles Foundation Discussion Papers 1263, Cowles Foundation for Research in Economics, Yale University.
  3. Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, EconWPA.
  4. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Darmstadt Discussion Papers in Economics 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  5. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  6. Davidson, James & Sibbertsen, Philipp, 2005. "Generating schemes for long memory processes: regimes, aggregation and linearity," Journal of Econometrics, Elsevier, vol. 128(2), pages 253-282, October.
  7. Chen, Willa W. & Deo, Rohit S., 2004. "A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models," Econometric Theory, Cambridge University Press, vol. 20(02), pages 382-416, April.
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Citations

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Cited by:
  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.
  2. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
  3. 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 Leibniz Universität Hannover dp-327, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  4. Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. M. Frömmel & R. Kruse, 2011. "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/722, Ghent University, Faculty of Economics and Business Administration.
  6. Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
  7. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

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