Robustness of stationary tests under long-memory alternatives
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/998 |
Resumo: | This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and financiaI time series. However, there is still no consensus. We argue in this paper that spurious short-term memory may be found due to the incorrect use of data-dependent bandwidth to estimating the longrun variance. We propose a partially adaptive lag truncation procedure that is robust against the presence of long memory under the alternative hypothesis and revisit several economic and financiaI time series using the proposed bandwidth choice. Our results indicate the existence of spurious short memory in real exchange rates when Andrews' formula is employed, but long memory is detected when the proposed lag truncation procedure is used. Using stock market data, we also found short memory in returns and long memory in volatility. |
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Lima, Luiz Renato Regis de OliveiraXiao, ZhijieEscolas::EPGEFGV2008-05-13T15:46:03Z2008-05-13T15:46:03Z2004-04-010104-8910http://hdl.handle.net/10438/998This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and financiaI time series. However, there is still no consensus. We argue in this paper that spurious short-term memory may be found due to the incorrect use of data-dependent bandwidth to estimating the longrun variance. We propose a partially adaptive lag truncation procedure that is robust against the presence of long memory under the alternative hypothesis and revisit several economic and financiaI time series using the proposed bandwidth choice. Our results indicate the existence of spurious short memory in real exchange rates when Andrews' formula is employed, but long memory is detected when the proposed lag truncation procedure is used. Using stock market data, we also found short memory in returns and long memory in volatility.engFundação Getulio Vargas. Escola de Pós-graduação em EconomiaEnsaios Econômicos;541Robustness of stationary tests under long-memory alternativesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaAnálise de séries temporaisEconometriareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXT1618.pdf.txt1618.pdf.txtExtracted Texttext/plain21903https://repositorio.fgv.br/bitstreams/ecbdd6f5-0c5e-41d6-9ca1-9a90b748bbe1/download61b12b21bdea3cf83c4204628abf64bbMD521618(2).pdf.txt1618(2).pdf.txtExtracted texttext/plain53095https://repositorio.fgv.br/bitstreams/ec528fcf-19fe-4aee-86cd-107546d04496/downloadaed80b37ca52e694d647e984ebae202aMD58ORIGINAL1618(2).pdf1618(2).pdfapplication/pdf7133054https://repositorio.fgv.br/bitstreams/ca3043c9-91bd-4145-93b7-96b8ede2782b/download8753f915a0fb7f569a14fc182a40d7feMD53THUMBNAIL1618(2).pdf.jpg1618(2).pdf.jpgGenerated Thumbnailimage/jpeg3372https://repositorio.fgv.br/bitstreams/bcb16001-5928-4b61-81fc-7851bfe7f37e/downloadbfbf9bf3ff6a7d46b8666b572a62d56bMD5910438/9982023-11-09 22:52:24.731open.accessoai:repositorio.fgv.br:10438/998https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T22:52:24Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Robustness of stationary tests under long-memory alternatives |
title |
Robustness of stationary tests under long-memory alternatives |
spellingShingle |
Robustness of stationary tests under long-memory alternatives Lima, Luiz Renato Regis de Oliveira Economia Análise de séries temporais Econometria |
title_short |
Robustness of stationary tests under long-memory alternatives |
title_full |
Robustness of stationary tests under long-memory alternatives |
title_fullStr |
Robustness of stationary tests under long-memory alternatives |
title_full_unstemmed |
Robustness of stationary tests under long-memory alternatives |
title_sort |
Robustness of stationary tests under long-memory alternatives |
author |
Lima, Luiz Renato Regis de Oliveira |
author_facet |
Lima, Luiz Renato Regis de Oliveira Xiao, Zhijie |
author_role |
author |
author2 |
Xiao, Zhijie |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Lima, Luiz Renato Regis de Oliveira Xiao, Zhijie |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Análise de séries temporais Econometria |
dc.subject.bibliodata.por.fl_str_mv |
Análise de séries temporais Econometria |
description |
This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and financiaI time series. However, there is still no consensus. We argue in this paper that spurious short-term memory may be found due to the incorrect use of data-dependent bandwidth to estimating the longrun variance. We propose a partially adaptive lag truncation procedure that is robust against the presence of long memory under the alternative hypothesis and revisit several economic and financiaI time series using the proposed bandwidth choice. Our results indicate the existence of spurious short memory in real exchange rates when Andrews' formula is employed, but long memory is detected when the proposed lag truncation procedure is used. Using stock market data, we also found short memory in returns and long memory in volatility. |
publishDate |
2004 |
dc.date.issued.fl_str_mv |
2004-04-01 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:46:03Z |
dc.date.available.fl_str_mv |
2008-05-13T15:46:03Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/998 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
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0104-8910 |
url |
http://hdl.handle.net/10438/998 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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Ensaios Econômicos;541 |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
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