| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061553 | Economics Letters | 2009 | 4 Pages |
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
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
James Davidson, Philipp Sibbertsen,