Tests of Bias in Log-Periodogram Regression
Paper number: 08/05
Paper date: 2008
Paper Category: Working Paper
James Davidson and Philipp Sibbertsen
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.