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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. 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://www3.wiwi.uni-hannover.de/Forschung/Diskussionspapiere/dp-317.pdf
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Bibliographic Info

Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover 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

Contact details of provider:
Postal: Koenigsworther Platz 1, D-30167 Hannover
Phone: (0511) 762-5350
Fax: (0511) 762-5665
Web page: http://www.wiwi.uni-hannover.de/
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Related research

Keywords: long memory; log-periodogram estimation; Hausman test;

Other versions of this item:

Find related papers by JEL classification:

• 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

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-07-11 (All new papers)
• NEP-ECM-2005-07-11 (Econometrics)

References

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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.:

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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, 2003. "A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter," Econometrica, Econometric Society, vol. 71(2), pages 675-712, March.
   
   • Tom Doan, . "AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference," Statistical Software Components RTS00005, Boston College Department of Economics.
   • 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. 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.
4. Hassler, U. & Marmol, Francesc & Velasco, Carlos, . "Residual log-periodogram inference for long-run relationships," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4359, Universidad Carlos III de Madrid.
   
   • Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
   • Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute of Economics (VWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
   • Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute of Economics (VWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
   • 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).
   • Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, . "Residual Log-Periodogram Inference for Long-Run-Relationships," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4431, Universidad Carlos III de Madrid.
5. 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.
   
   • Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, EconWPA.
6. 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.
7. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.

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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.
   
   • Ulrike Busch & Dieter Nautz, 2010. "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 11, pages 367-380, 08.
   • 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. Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 576-599, 07.
   
   • 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.
3. 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.
   
   • Michael Fr�mmel & Robinson Kruse, 2012. "Testing for a rational bubble under long memory," Quantitative Finance, Taylor and Francis Journals, vol. 12(11), pages 1723-1732, November.
4. 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.
5. 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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