A test of the long memory hypothesis based on self-similarity

James Davidson and Dooruj Rambaccussing

No 286, Dundee Discussion Papers in Economics from Economic Studies, University of Dundee

Abstract: This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of signi cance of the long memory parameter, and a composite test procedure is described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional di¤erencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.

Keywords: Long Memory; Self-similarity; Bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2015-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: A Test of the Long Memory Hypothesis Based on Self-Similarity (2015)
Working Paper: A test of long memory hypothesis based on self-similarity (2015)
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