Distinguishing between long-range dependence and deterministic trends

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Technical Report ; No. 2003,16

Classification and Topics

• Classification: 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
• Subject: Long memory ; trends ; log-periodogram regression ; inflation rates ; Zeitreihenanalyse ; Schätztheorie ; Inflationsrate ; Schätzung ; USA ; Großbritannien ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Sibbertsen, Philipp ; Venetis, Ioannis
• Event: Veröffentlichung
• (who): Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
• (where): Dortmund
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/49313
• Last update: 10.03.2025, 11:45 AM CET