Note on bandwidth selection in testing for long range dependence.

DOI10.1016/S0165-1765(02)00180-5MaRDI QIDQ1853704zbMATH OpenOpenAlexFDO

Authors Zhijie Xiao

Publication date 22 January 2003

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(02)00180-5

zbMATH Keywords

Bandwidth selectionIntegrated processLong-memory processNonparametricSemiparametric

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Review text

Many tests for \(I(0)\) versus \(I(d)\) processes are standardized by long-run variance estimators, which are estimated by nonparametric methods that entail a choice of bandwidth. Data-dependent bandwidth choices using plug-in methods have been suggested and used in many applications. In a recent paper, \textit{V. Teverovsky}, \textit{M. S. Taqqu} and \textit{W. Willinger} [J. Stat. Plann. Inference 80, 211--227 (1999; Zbl 1044.60508)] conducted a Monte Carlo study on the modified rescaled range (R/S) test and found that the test ``has a strong bias towards accepting the null hypothesis. In this note, we show that the Monte Carlo finding of unusually low power and the empirical finding of short-memory in stock returns indexes are related to the data-dependent bandwidth choice. Simply using the data-dependent bandwidth choice is inappropriate.

Recommendations

• Bootstrap-based bandwidth choice for log-periodogram regression
• On bandwidth choice for density estimation with dependent data
• Semiparametric inference and bandwidth choice under long memory: experimental evidence
• scientific article; zbMATH DE number 854953
• Bootstrapping long memory tests: some Monte Carlo results

Cites work

• A critical look at Lo's modified \(R/S\) statistic.
• Convergence of normalized quadratic forms
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3820911 (Why is no real title available?)
• scientific article; zbMATH DE number 88842 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Long-Term Memory in Stock Market Prices
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives

Cited in

(3)

• Tests of long memory: a bootstrap approach
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• Robust inference in nonstationary time series models

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Note on bandwidth selection in testing for long range dependence.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1853704)