A new simple test against spurious long memory using temporal aggregation

DOI10.1080/00949655.2010.483231MaRDI QIDQ4914973zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(7)

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

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