A New Simple Test Against Spurious Long Memory Using Temporal Aggregation
We have developed a new test against spurious long memory based on the invariance of long memory parameter to aggregation. By using the local Whittle estimator, the statistic takes the supremum among combinations of paired aggregated series. Simulations show that the test performs good in finite sample sizes, and is able to distinguish long memory from spurious processes with excellent power. Moreover, the empirical application gives further evidence that the observed long memory in German stock returns is spurious.
|Date of creation:||Aug 2009|
|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
More information through EDIRC
References listed on IDEAS
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.:
- Lobato, Ignacio N & Savin, N E, 1998.
"Real and Spurious Long-Memory Properties of Stock-Market Data,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(3), pages 261-268, July.
- Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
- I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Springer, vol. 45(4), pages 465-515, October.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Olan Henry, 2002. "Long memory in stock returns: some international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 725-729.
- Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 131-159, November.
- Granger, Clive W.J. & Teräsvirta, Timo, 1998.
"A simple nonlinear time series model with misleading linear properties,"
SSE/EFI Working Paper Series in Economics and Finance
237, Stockholm School of Economics.
- Granger, Clive W. J. & Terasvirta, Timo, 1999. "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, vol. 62(2), pages 161-165, February.
- Kuswanto, Heri & Sibbertsen, Philipp, 2007. "Can we distinguish between common nonlinear time series models and long memory?," Hannover Economic Papers (HEP) dp-380, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
- Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
- Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September.
- Ohanissian, Arek & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "True or Spurious Long Memory? A New Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 161-175, April.
- Man, K.S. & Tiao, G.C., 2006. "Aggregation effect and forecasting temporal aggregates of long memory processes," International Journal of Forecasting, Elsevier, vol. 22(2), pages 267-281.
- Souza, Leonardo Rocha, 2003.
"Temporal aggregation and bandwidth selection in estimating long memory,"
Economics Working Papers (Ensaios Economicos da EPGE)
478, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Leonardo Rocha Souza, 2007. "Temporal Aggregation and Bandwidth selection in estimating long memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 701-722, 09.
- Robert F. Engle & Aaron D. Smith, 1999.
"Stochastic Permanent Breaks,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 553-574, November.
- Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.
- Chambers, Marcus J, 1998.
"Long Memory and Aggregation in Macroeconomic Time Series,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-1072, November.
- Chambers, Marcus J, 1995. "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 2766, University of Essex, Department of Economics.
- Philipp Sibbertsen, 2004.
"Long memory in volatilities of German stock returns,"
Springer, vol. 29(3), pages 477-488, 09.
- Sibbertsen, Philipp, 2001. "Long-memory in volatilities of German stock returns," Technical Reports 2001,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
- Henghsiu Tsai & K. S. Chan, 2005. "Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, 09.
- Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 475-495.
- Breidt, F. Jay & Hsu, Nan-Jung, 2002. "A class of nearly long-memory time series models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 265-281.
When requesting a correction, please mention this item's handle: RePEc:han:dpaper:dp-425. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Heidrich, Christian)
If references are entirely missing, you can add them using this form.