A modified test against spurious long memory

DOI10.1016/J.ECONLET.2015.07.019MaRDI QIDQ1663949zbMATH OpenOpenAlexFDO

Authors 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

structural breakslong memoryfractional differencing

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(3)

• A test against spurious long memory
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• A multivariate test against spurious long memory

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