A modified test against spurious long memory

DOI10.1016/J.ECONLET.2015.07.019zbMath1394.62168OpenAlexW1082768541MaRDI QIDQ1663949

Robinson Kruse

Publication date: 24 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://research.rug.nl/en/publications/a-modified-test-against-spurious-long-memory(59495152-d8d3-422f-8ede-d0020d5f80fc).html

zbMATH Keywords

long memoryfractional differencingstructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

A multivariate test against spurious long memory

Cites Work

• When long memory meets the Kalman filter: a comparative study
• Testing for a break in trend when the order of integration is unknown
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
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• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• Efficient Tests of Nonstationary Hypotheses
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
• A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
• Long memory and regime switching

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