A new simple test against spurious long memory using temporal aggregation

DOI10.1080/00949655.2010.483231zbMATH Open1431.62394OpenAlexW2041618547MaRDI QIDQ4914973FDOQ4914973

Authors: Heri Kuswanto 

Publication date: 16 April 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.483231

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zbMATH Keywords

aggregationspurious long memorylocal Whittle method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Gaussian semiparametric estimation of long range dependence
• Long memory processes and fractional integration in econometrics
• Modelling structural breaks, long memory and stock market volatility: an overview
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a change of the long-memory parameter
• Testing and estimating for change in long memory parameter
• A simple nonlinear time series model with misleading linear properties
• Central limit theorems for quadratic forms in random variables having long-range dependence
• Long memory versus structural breaks: an overview
• Varieties of long memory models
• Limit theorems for quadratic forms with applications to Whittle's estimate
• Temporal Aggregation and Bandwidth selection in estimating long memory
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Test for Parameter Change in Linear Processes Based on Whittle's Estimator

Cited In (7)

• Temporal Aggregation and Bandwidth selection in estimating long memory
• Why Aggregate Long Memory Time Series?
• A modified test against spurious long memory
• True versus spurious long memory: some theoretical results and a Monte Carlo comparison
• A test of the long memory hypothesis based on self-similarity
• A multivariate test against spurious long memory
• Statistical tests for a single change in mean against long-range dependence

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