Robustness of stationary tests under long-memory alternatives

Detalhes bibliográficos
Autor(a) principal: Lima, Luiz Renato Regis de Oliveira
Data de Publicação: 2004
Outros Autores: Xiao, Zhijie
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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spelling 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
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dc.publisher.none.fl_str_mv Fundação Getulio Vargas. Escola de Pós-graduação em Economia
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