Arbeitspapier

Distinguishing between long-range dependence and deterministic trends

zu Verbundenen Objekten

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 difference of these estimators provides the desired test. Its asymptotic distribution depends on the true memory parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three industrialized countries.

Sprache
Englisch

Erschienen in
Series: Technical Report ; No. 2003,16

Klassifikation
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Semiparametric and Nonparametric Methods: General
Thema
Long memory
trends
log-periodogram regression
inflation rates
Zeitreihenanalyse
Schätztheorie
Inflationsrate
Schätzung
USA
Großbritannien
Deutschland

Ereignis
Geistige Schöpfung
(wer)
Sibbertsen, Philipp
Venetis, Ioannis
Ereignis
Veröffentlichung
(wer)
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
(wo)
Dortmund
(wann)
2003

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Sibbertsen, Philipp
  • Venetis, Ioannis
  • Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

Entstanden

  • 2003

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