English, Article, Journal or magazine article edition: A New Simple Test Against Spurious Long Memory Using Temporal Aggregation Kuswanto, Heri

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Bookmark: http://trove.nla.gov.au/version/33566
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A New Simple Test Against Spurious Long Memory Using Temporal Aggregation
Author
  • Kuswanto, Heri
Physical Description
  • preprint
Notes
  • We have developed a new test against spurious long memory based on the invariance of long memory parameter to aggregation. By using the local Whittle estimator, the statistic takes the supremum among combinations of paired aggregated series. Simulations show that the test performs good in finite sample sizes, and is able to distinguish long memory from spurious processes with excellent power. Moreover, the empirical application gives further evidence that the observed long memory in German stock returns is spurious.
  • Local-Whittle method, Spurious long memory, Change point, Aggregation
  • RePEc:han:dpaper:dp-425
Language
  • English
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