Tests of Bias in Log-Periodogram Regression

Paper number: 08/05

Paper date: 2008

Year: 2008

Paper Category: Working Paper

Authors

James Davidson and Philipp Sibbertsen

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.

Tests of Bias in Log-Periodogram Regression Tests of Bias in Log-Periodogram Regression