A two-sample test for comparison of long memory parameters

DOI10.1016/J.JMVA.2010.04.003zbMATH Open1352.62041arXiv0907.1787OpenAlexW2031403448MaRDI QIDQ990895FDOQ990895

Donatas Surgailis, Frédéric Lavancier, Anne Philippe

Publication date: 1 September 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory 21, 989--1029]. The two samples have the same length and can be mutually independent or dependent. In the latter case, the test statistic is modified to make it asymptotically free of the long-run correlation coefficient between the samples. To diminish the sensitivity of the test on the choice of the bandwidth parameter, an adaptive formula for the bandwidth parameter is derived using the asymptotic expansion in [Abadir, K., Distaso, W., Giraitis, L., 2009. Two estimators of the long-run variance: Beyond short memory. Journal of Econometrics 150, 56--70]. A simulation study shows that the above choice of bandwidth leads to a good size of our comparison test for most values of fractional and ARMA parameters of the simulated series.

Full work available at URL: https://arxiv.org/abs/0907.1787

Recommendations

• Testing for a change of the long-memory parameter
• Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
• TESTING FOR LONG MEMORY
• Comparison of non-parametric and semi-parametric tests in detecting long memory
• Adaptive long memory testing under heteroskedasticity

zbMATH Keywords

long memorybandwidth choicelong-run covariancerescaled variancetwo-sample test for comparison of memory parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Title not available (Why is that?)
• The Invariance Principle for Stationary Processes
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Testing for a change of the long-memory parameter
• A Nonparametric Test for I(0)
• Long-Term Memory in Stock Market Prices
• Efficient Tests of Nonstationary Hypotheses
• Adaptive estimation of the fractional differencing coefficient
• Integral representations and properties of operator fractional Brownian motions
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• Rescaled variance and related tests for long memory in volatility and levels
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
• Econometric estimation in long-range dependent volatility models: theory and practice
• Two estimators of the long-run variance: beyond short memory
• Long Memory in Economics
• Covariance function of vector self-similar processes
• Title not available (Why is that?)
• The increment ratio statistic
• Change-point detection in long-memory processes
• Asymptotic independence of distant partial sums of linear processes
• Testing for long memory in the Asian foreign exchange rates
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY

Cited In (9)

• Testing power-law cross-correlations: rescaled covariance test
• The moduli of continuity for operator fractional Brownian motion
• Asymptotics for statistical functionals of long-memory sequences
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• Tests of long memory: a bootstrap approach
• Long memory estimation in a non-Gaussian bivariate process
• Covariance function of vector self-similar processes
• A multivariate test against spurious long memory
• Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory

This page was built for publication: A two-sample test for comparison of long memory parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q990895)