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)
Pages: 14 pages
Date: 2005-06
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (6)

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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)
Working Paper: Tests of Bias in Log-Periodogram Regression (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-317

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