Local asymptotic powers of nonparametric and semiparametric tests for fractional integration

Xiaofeng Shao and Wei Biao Wu

Stochastic Processes and their Applications, 2007, vol. 117, issue 2, 251-261

Abstract: The paper concerns testing long memory for fractionally integrated nonlinear processes. We show that the exact local asymptotic power is of order O[(logn)-1] for four popular nonparametric tests and is O(m-1/2), where m is the bandwidth which is allowed to grow as fast as n[kappa], [kappa][set membership, variant](0,2/3), for the semiparametric Lagrange multiplier (LM) test proposed by Lobato and Robinson [I. Lobato, P.M. Robinson, A nonparametric test for I(0), Rev. Econom. Stud. 68 (1998) 475-495]. Our theory provides a theoretical justification for the empirical findings in finite sample simulations by Lobato and Robinson [I. Lobato, P.M. Robinson, A nonparametric test for I(0), Rev. Econom. Stud. 68 (1998) 475-495] and Giraitis et al. [L. Giraitis, P. Kokoszka, R. Leipus, G. Teyssiére, Rescaled variance and related tests for long memory in volatility and levels, J. Econometrics 112 (2003) 265-294] that nonparametric tests have lower power than LM tests in detecting long memory.

Keywords: Fractional; integration; KPSS; test; Lagrange; multiplier; test; Local; Whittle; estimation; Long; memory; R/S; test (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(06)00119-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:117:y:2007:i:2:p:251-261

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().