Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 83-86 |
| Seitenumfang | 4 |
| Fachzeitschrift | Economics letters |
| Jahrgang | 102 |
| Ausgabenummer | 2 |
| Frühes Online-Datum | 3 Dez. 2008 |
| Publikationsstatus | Veröffentlicht - Feb. 2009 |
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.
ASJC Scopus Sachgebiete
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Volkswirtschaftslehre und Ökonometrie
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in: Economics letters, Jahrgang 102, Nr. 2, 02.2009, S. 83-86.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Tests of bias in log-periodogram regression
AU - Davidson, James
AU - Sibbertsen, Philipp
PY - 2009/2
Y1 - 2009/2
N2 - 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.
AB - 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.
KW - Hausman test
KW - Log periodogram regression
KW - Long memory
UR - http://www.scopus.com/inward/record.url?scp=58549108181&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2008.11.020
DO - 10.1016/j.econlet.2008.11.020
M3 - Article
AN - SCOPUS:58549108181
VL - 102
SP - 83
EP - 86
JO - Economics letters
JF - Economics letters
SN - 0165-1765
IS - 2
ER -