Tests of bias in log-periodogram regression
James Davidson () and
Philipp Sibbertsen ()
Economics Letters, 2009, vol. 102, issue 2, 83-86
This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.
Keywords: Long; memory; Log; periodogram; regression; Hausman; test (search for similar items in EconPapers)
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Working Paper: Tests of Bias in Log-Periodogram Regression (2008)
Working Paper: Tests of Bias in Log-Periodogram Regression (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:102:y:2009:i:2:p:83-86
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