Details
| Original language | English |
|---|---|
| Pages (from-to) | 83-86 |
| Number of pages | 4 |
| Journal | Economics letters |
| Volume | 102 |
| Issue number | 2 |
| Early online date | 3 Dec 2008 |
| Publication status | Published - 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.
Keywords
- Hausman test, Log periodogram regression, Long memory
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Economics letters, Vol. 102, No. 2, 02.2009, p. 83-86.
Research output: Contribution to journal › Article › Research › 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 -