A two-sample test for comparison of long memory parameters. (English) Zbl 1352.62041
Summary: We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [L. Giraitis et al., Econom. Theory 22, No. 6, 989–1029 (2006; Zbl 1170.62411)]. The two samples have the same length and can be mutually independent or dependent. In the latter case, the test statistic is modified to make it asymptotically free of the long-run correlation coefficient between the samples. To diminish the sensitivity of the test on the choice of the bandwidth parameter, an adaptive formula for the bandwidth parameter is derived using the asymptotic expansion in [K. M. Abadir et al., J. Econom. 150, No. 1, 56–70 (2009; Zbl 1429.62378)]. A simulation study shows that the above choice of bandwidth leads to a good size of our comparison test for most values of fractional and ARMA parameters of the simulated series.
MSC:
| 62F05 | Asymptotic properties of parametric tests |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 60G22 | Fractional processes, including fractional Brownian motion |
Keywords:
long memory; two-sample test for comparison of memory parameters; long-run covariance; rescaled variance; bandwidth choiceReferences:
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