A test of the long memory hypothesis based on self-similarity
Journal of Time Series Econometrics
© 2015 De Gruyter. http://www.degruyter.com/page/577 Distributed under a Creative Commons licence CC BY-NC-ND https://creativecommons.org/licenses/by-nc-nd/4.0/
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This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and a composite test procedure is described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.
This is the author's accepted version of an article which was subsequently published in the Journal of Time Series Econometrics, Vol. 7, Issue 2, pp 115-141. The final publication is available via www.degruyter.com, at http://dx.doi.org/10.1515/jtse-2013-0036 .
Vol. 7, Issue 2., pp. 115 - 142
Place of publication