Quotation Hauser, Michael. 1997. Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study. Empirical Economics 22 247-271.


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Abstract

The finite sample properties of three semiparametric estimators, several versions of the modified rescaled range, MRR, and three versions of the GHURST estimator are investigated. Their power and size for testing for long memory under short-run effects, joint short and long-run effects, heteroscedasticity andt-distributions are given using Monte Carlo methods. The MRR with the Bartlett window is generally robust with the disadvantage of a relatively small power. The trimmed Whittle likelihood has high power in general and is robust except for large short-run effects. The tests are applied to changes in exchange rate series (daily data) of 6 major countries. The hypothesis of no fractional integration is rejected for none of the series.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Empirical Economics
Citation Index SSCI
WU-Journal-Rating new VW-D
Language English
Title Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study
Volume 22
Year 1997
Page from 247
Page to 271
Reviewed? Y
URL http://www.springerlink.com/content/r1021605l0640752/

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People
Hauser, Michael (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5311 Public finance (Details)
5323 Econometrics (Details)
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