Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Per Frederiksen and Frank S. Nielsen ()
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Frank S. Nielsen: School of Economics and Management, University of Aarhus, Denmark and CREATES, Postal: 8000 Aarhus C, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er simulation results that show good size properties of the tests, with power against spurious long memory. An empirical study of daily log-squared returns series of exchange rates and DJIA30 stocks shows that indeed there is long memory in exchange rate volatility and stock return volatility.

Keywords: Temporal aggregation; semiparametric estimation; fractional integration; self-similarity; perturbed fractional processes. (search for similar items in EconPapers)
JEL-codes: C14 C22 C43 (search for similar items in EconPapers)
Pages: 51
Date: 2008-11-25
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-59

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