A multivariate test against spurious long memory

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Philipp Sibbertsen
  • Christian Leschinski
  • Marie Busch

Organisationseinheiten

Forschungs-netzwerk anzeigen

Details

OriginalspracheEnglisch
Seiten (von - bis)33-49
Seitenumfang17
FachzeitschriftJournal of Econometrics
Jahrgang203
Ausgabenummer1
Frühes Online-Datum21 Dez. 2017
PublikationsstatusVeröffentlicht - März 2018

Abstract

This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level shifts and smooth trends. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. To apply the test to fractionally cointegrated series, the test statistic is calculated for the linearly transformed system after estimating the cointegrating matrix. We derive the limiting distribution and show consistency of this procedure. The test is applied to log-absolute returns and log-realized volatilities of the S&P 500, DAX, FTSE, and NIKKEI.

ASJC Scopus Sachgebiete

Zitieren

A multivariate test against spurious long memory. / Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie.
in: Journal of Econometrics, Jahrgang 203, Nr. 1, 03.2018, S. 33-49.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Sibbertsen, P, Leschinski, C & Busch, M 2018, 'A multivariate test against spurious long memory', Journal of Econometrics, Jg. 203, Nr. 1, S. 33-49. https://doi.org/10.1016/j.jeconom.2017.07.005
Sibbertsen P, Leschinski C, Busch M. A multivariate test against spurious long memory. Journal of Econometrics. 2018 Mär;203(1):33-49. Epub 2017 Dez 21. doi: 10.1016/j.jeconom.2017.07.005
Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie. / A multivariate test against spurious long memory. in: Journal of Econometrics. 2018 ; Jahrgang 203, Nr. 1. S. 33-49.
Download
@article{ca603008e13e4232a6dd719846911f2c,
title = "A multivariate test against spurious long memory",
abstract = "This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level shifts and smooth trends. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. To apply the test to fractionally cointegrated series, the test statistic is calculated for the linearly transformed system after estimating the cointegrating matrix. We derive the limiting distribution and show consistency of this procedure. The test is applied to log-absolute returns and log-realized volatilities of the S&P 500, DAX, FTSE, and NIKKEI.",
keywords = "Fractional cointegration, Multivariate long memory, Semiparametric estimation, Spurious long memory, Volatility",
author = "Philipp Sibbertsen and Christian Leschinski and Marie Busch",
note = "{\textcopyright} 2017 Elsevier B.V. All rights reserved.",
year = "2018",
month = mar,
doi = "10.1016/j.jeconom.2017.07.005",
language = "English",
volume = "203",
pages = "33--49",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

Download

TY - JOUR

T1 - A multivariate test against spurious long memory

AU - Sibbertsen, Philipp

AU - Leschinski, Christian

AU - Busch, Marie

N1 - © 2017 Elsevier B.V. All rights reserved.

PY - 2018/3

Y1 - 2018/3

N2 - This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level shifts and smooth trends. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. To apply the test to fractionally cointegrated series, the test statistic is calculated for the linearly transformed system after estimating the cointegrating matrix. We derive the limiting distribution and show consistency of this procedure. The test is applied to log-absolute returns and log-realized volatilities of the S&P 500, DAX, FTSE, and NIKKEI.

AB - This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level shifts and smooth trends. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. To apply the test to fractionally cointegrated series, the test statistic is calculated for the linearly transformed system after estimating the cointegrating matrix. We derive the limiting distribution and show consistency of this procedure. The test is applied to log-absolute returns and log-realized volatilities of the S&P 500, DAX, FTSE, and NIKKEI.

KW - Fractional cointegration

KW - Multivariate long memory

KW - Semiparametric estimation

KW - Spurious long memory

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=85040250107&partnerID=8YFLogxK

U2 - 10.1016/j.jeconom.2017.07.005

DO - 10.1016/j.jeconom.2017.07.005

M3 - Article

AN - SCOPUS:85040250107

VL - 203

SP - 33

EP - 49

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -