Tests of bias in log-periodogram regression

DOI10.1016/j.econlet.2008.11.020zbMath1175.62091MaRDI QIDQ1036842

J. Blot

Publication date: 13 November 2009

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.11.020

zbMATH Keywords

long memory; log periodogram regression; Hausman test

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

65C05: Monte Carlo methods

Uses Software

• TSM