A multivariate test against spurious long memory

Philipp Sibbertsen, Christian Leschinski and Marie Busch

Journal of Econometrics, 2018, vol. 203, issue 1, 33-49

Abstract: This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level shifts and smooth trends. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. To apply the test to fractionally cointegrated series, the test statistic is calculated for the linearly transformed system after estimating the cointegrating matrix. We derive the limiting distribution and show consistency of this procedure. The test is applied to log-absolute returns and log-realized volatilities of the S&P 500, DAX, FTSE, and NIKKEI.

Keywords: Multivariate long memory; Semiparametric estimation; Spurious long memory; Fractional cointegration; Volatility (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Working Paper: A Multivariate Test Against Spurious Long Memory (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:203:y:2018:i:1:p:33-49

DOI: 10.1016/j.jeconom.2017.07.005

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