Details
| Original language | English |
|---|---|
| Pages (from-to) | 33-49 |
| Number of pages | 17 |
| Journal | Journal of Econometrics |
| Volume | 203 |
| Issue number | 1 |
| Early online date | 21 Dec 2017 |
| Publication status | Published - Mar 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.
Keywords
- Fractional cointegration, Multivariate long memory, Semiparametric estimation, Spurious long memory, Volatility
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Econometrics, Vol. 203, No. 1, 03.2018, p. 33-49.
Research output: Contribution to journal › Article › Research › peer review
}
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 -