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Tests of Bias in Log-Periodogram Regression

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  • Davidson, James
  • Sibbertsen, Philipp

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. The use of the tests in conjunction with tests of significance of the long memory parameter is illustrated by Monte Carlo experiments.

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File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-317.pdf
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Bibliographic Info

Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-317.

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Length: 14 pages
Date of creation: Jun 2005
Date of revision:
Handle: RePEc:han:dpaper:dp-317

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Keywords: long memory; log-periodogram estimation; 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. 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).
  3. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. Davidson, James & Sibbertsen, Philipp, 2002. "Generating schemes for long memory processes: Regimes, aggregation and linearity," Technical Reports 2002,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  5. 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.
  6. Hsieh, Meng-Chen & Hurvich, Clifford M. & Soulier, Philippe, 2007. "Asymptotics for duration-driven long range dependent processes," Journal of Econometrics, Elsevier, vol. 141(2), pages 913-949, December.
  7. 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.
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Citations

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Cited by:
  1. Busch, Ulrike & Nautz, Dieter, 2009. "Controllability and persistence of money market rates along the yield curve: evidence from the euro area," Discussion Papers 2009/5, Free University Berlin, School of Business & Economics.
  2. Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Hannover Economic Papers (HEP) dp-327, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  4. Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Hannover Economic Papers (HEP) 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. 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.

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