Testing for the presence of noise in long memory processes [in Japanese]

Keiko Yamaguchi

Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: In this paper, we propose a new test for the presence of noise in the long-memory signal plus white noise model. A similar test was proposed by Sun-Phillips(2003), so we conduct simulation experiments to examine and compare the finite sample properties of these two tests. It is well-known that the realized volatility(RV) follows a long memory process, so we apply these tests to the RVs calculated using the 1- and 5-minutes returns of the Nikkei 225 stock index.

Keywords: long-term memory; realized volatility; observation error; semi-parametric; local Whittle model (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2008-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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