Tests of bias in log-periodogram regression

James Davidson; Philipp Sibbertsen

doi:10.1016/j.econlet.2008.11.020

Tests of bias in log-periodogram regression

James Davidson
, Philipp Sibbertsen^*

^*Korrespondierende*r Autor*in für diese Arbeit

Wirtschaftswissenschaftliche Fakultät

University of Exeter

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

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.

Originalsprache	Englisch
Seiten (von - bis)	83-86
Seitenumfang	4
Fachzeitschrift	Economics letters
Jahrgang	102
Ausgabenummer	2
Elektronisch veröffentlicht (E-Pub)	3 Dez. 2008
DOIs	https://doi.org/10.1016/j.econlet.2008.11.020
Publikationsstatus	Veröffentlicht - Feb. 2009

ASJC Scopus Sachgebiete

Finanzwesen
Volkswirtschaftslehre und Ökonometrie

Zugriff auf Dokument

10.1016/j.econlet.2008.11.020

http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.232.7849Lizenz: Nicht angegeben

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