Tests of bias in log-periodogram regression
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- James Davidson & Philipp Sibbertsen, 2008. "Tests of Bias in Log-Periodogram Regression," Discussion Papers 0805, Exeter University, Department of Economics.
- Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Hannover Economic Papers (HEP) dp-317, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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More about this item
KeywordsLong memory Log periodogram regression Hausman test;
- 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; Diffusion Processes
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