Tests of Bias in Log-Periodogram Regression

James Davidson () and Philipp Sibbertsen

No 805, Discussion Papers from University of Exeter, Department of Economics

Abstract: This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.

Keywords: Long memory; log periodogram regression; Hausman test. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2008
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https://exetereconomics.github.io/RePEc/dpapers/DP0805.pdf (application/pdf)

Related works:
Journal Article: Tests of bias in log-periodogram regression (2009)
Working Paper: Tests of Bias in Log-Periodogram Regression (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:0805

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