A two-sample test for comparison of long memory parameters
From MaRDI portal
Abstract: We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory 21, 989--1029]. The two samples have the same length and can be mutually independent or dependent. In the latter case, the test statistic is modified to make it asymptotically free of the long-run correlation coefficient between the samples. To diminish the sensitivity of the test on the choice of the bandwidth parameter, an adaptive formula for the bandwidth parameter is derived using the asymptotic expansion in [Abadir, K., Distaso, W., Giraitis, L., 2009. Two estimators of the long-run variance: Beyond short memory. Journal of Econometrics 150, 56--70]. A simulation study shows that the above choice of bandwidth leads to a good size of our comparison test for most values of fractional and ARMA parameters of the simulated series.
Recommendations
- Testing for a change of the long-memory parameter
- Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
- TESTING FOR LONG MEMORY
- Comparison of non-parametric and semi-parametric tests in detecting long memory
- Adaptive long memory testing under heteroskedasticity
Cites work
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1944308 (Why is no real title available?)
- A Nonparametric Test for I(0)
- A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
- Adaptive estimation of the fractional differencing coefficient
- Asymptotic independence of distant partial sums of linear processes
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Change-point detection in long-memory processes
- Covariance function of vector self-similar processes
- Econometric estimation in long-range dependent volatility models: theory and practice
- Efficient Tests of Nonstationary Hypotheses
- Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
- Integral representations and properties of operator fractional Brownian motions
- Long Memory in Economics
- Long-Term Memory in Stock Market Prices
- Rescaled variance and related tests for long memory in volatility and levels
- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- Testing for a change of the long-memory parameter
- Testing for long memory in the Asian foreign exchange rates
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The Invariance Principle for Stationary Processes
- The increment ratio statistic
- Two estimators of the long-run variance: beyond short memory
Cited in
(10)- The moduli of continuity for operator fractional Brownian motion
- Long memory estimation in a non-Gaussian bivariate process
- Covariance function of vector self-similar processes
- A goodness-of-fit test for marginal distribution of linear random fields with long memory
- Comparing the marginal densities of two strictly stationary linear processes
- Testing power-law cross-correlations: rescaled covariance test
- Tests of long memory: a bootstrap approach
- Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
- Asymptotics for statistical functionals of long-memory sequences
- A multivariate test against spurious long memory
This page was built for publication: A two-sample test for comparison of long memory parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q990895)
