EconPapers    
Economics at your fingertips  
 

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
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://people.exeter.ac.uk/RePEc/dpapers/DP0805.pdf (application/pdf)

Related works:
Journal Article: Tests of bias in log-periodogram regression (2009) Downloads
Working Paper: Tests of Bias in Log-Periodogram Regression (2005) Downloads
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:exe:wpaper:0805

Access Statistics for this paper

More papers in Discussion Papers from University of Exeter, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Jingnan (Cecilia) Chen ().

 
Page updated 2019-08-10
Handle: RePEc:exe:wpaper:0805