On the power of R/S-type tests under contiguous and semi long memory alternatives

Liudas Giraitis (), Piotr Kokoszka, Remigijus Leipus and Gilles Teyssière

No 2002057, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated when replacing the fractional difference operator (1 - L)d by the mixed operator (1-rL)d in the ARFIMA, LARCH and ARCH time series models. We also investigate the Gegenbauer process with a pole of the spectral density at frequency close to zero.

Keywords: long-memory; Gegenbauer process; ARCH processes; linear ARCH; semi long memory; modified R/S statistic; KPSS statistic; V/S statistic (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2002-09
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2002057

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