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Tests of Bias in Log-Periodogram Regression

James Davidson () and Philipp Sibbertsen ()

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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. The use of the tests in conjunction with tests of significance of the long memory parameter is illustrated by Monte Carlo experiments.

Keywords: long memory; log-periodogram estimation; Hausman test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2005-06
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Citations: View citations in EconPapers (6) Track citations by RSS feed

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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-317.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 (2008) Downloads
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