Distinguishing between long-range dependence and deterministic trends

Economics

Speaker:Philipp Sibbertsen, University of Dortmund
Date: Friday 24 September 2004
Time: 16:15
Location: Lecture Room D, Streatham Court

Further details

(with Ioannis Venetis)

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The squared difference of these estimators provides the desired test. Its asymptotic distribution does not depend on the true memory parameter under the null but cannot be computed explicitly for non-Gaussian data, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three industrialized countries.