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^*

^*Corresponding author for this work

Faculty of Economics and Management

University of Exeter

Research output: Contribution to journal › Article › Research › 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.

Original language	English
Pages (from-to)	83-86
Number of pages	4
Journal	Economics letters
Volume	102
Issue number	2
E-pub ahead of print	3 Dec 2008
DOIs	https://doi.org/10.1016/j.econlet.2008.11.020
Publication status	Published - Feb 2009

Keywords

Hausman test
Log periodogram regression
Long memory

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2008.11.020

http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.232.7849Licence: Unspecified

Cite this

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Tests of bias in log-periodogram regression

Abstract

Keywords

ASJC Scopus subject areas

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