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A test of long memory hypothesis based on self-similarity

Dooruj Rambaccussing () and James Davidson

No 2015-81, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

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 significance of the long memory parameter, and composite test procedure 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 differencing. 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)
Date: 2015-01
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Journal Article: A Test of the Long Memory Hypothesis Based on Self-Similarity (2015) Downloads
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