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On the power of R/S-type tests under contiguous and semi long memory alternatives

Author

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  • GIRAITIS, Liudas
  • KOKOSZKA, Piotr
  • LEIPUS, Remigijus
  • TEYSSIÈRE, Gilles

Abstract

The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated when replacing the fractional difference operator (1 - L)d by the mixed operator (1-rL)d in the ARFIMA, LARCH and ARCH time series models. We also investigate the Gegenbauer process with a pole of the spectral density at frequency close to zero.

Suggested Citation

  • GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, 2002. "On the power of R/S-type tests under contiguous and semi long memory alternatives," LIDAM Discussion Papers CORE 2002057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2002057
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp2002.html
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    Cited by:

    1. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    More about this item

    Keywords

    long-memory; Gegenbauer process; ARCH processes; linear ARCH; semi long memory; modified R/S statistic; KPSS statistic; V/S statistic;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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