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Testing for the presence of noise in long memory processes [in Japanese]

Author

Listed:
  • Keiko Yamaguchi

Abstract

In this paper, we propose a new test for the presence of noise in the long-memory signal plus white noise model. A similar test was proposed by Sun-Phillips(2003), so we conduct simulation experiments to examine and compare the finite sample properties of these two tests. It is well-known that the realized volatility(RV) follows a long memory process, so we apply these tests to the RVs calculated using the 1- and 5-minutes returns of the Nikkei 225 stock index.

Suggested Citation

  • Keiko Yamaguchi, 2008. "Testing for the presence of noise in long memory processes [in Japanese]," Hi-Stat Discussion Paper Series d07-230, Institute of Economic Research, Hitotsubashi University.
  • Handle: RePEc:hst:hstdps:d07-230
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    File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2007/pdf/D07-230.pdf
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    More about this item

    Keywords

    long-term memory; realized volatility; observation error; semi-parametric; local Whittle model;
    All these keywords.

    JEL classification:

    • 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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