Title of article
Comparison of non-parametric and semi-parametric tests in detecting long memory
Author/Authors
Mohamed Boutahara*، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
28
From page
945
To page
972
Abstract
The first two stages in modelling times series are hypothesis testing and estimation. For long memory time series, the second stage was studied in the paper published in [M. Boutahar et al., Estimation methods of the long memory parameter: monte Carlo analysis and application, J. Appl. Statist. 34(3), pp. 261–301.] in which we have presented some estimation methods of the long memory parameter. The present paper is intended for the first stage, and hence completes the former, by exploring some tests for detecting long memory in time series. We consider two kinds of tests: the non-parametric class and the semi-parametric one. We precise the limiting distribution of the non-parametric tests under the null of short memory and we show that they are consistent against the alternative of long memory. We perform also some Monte Carlo simulations to analyse the size distortion and the power of all proposed tests. We conclude that for large sample size, the two classes are equivalent but for small sample size the non-parametric class is better than the semi-parametric one.
Keywords
Power , hypothesis testing , short memory , size , long memory
Journal title
JOURNAL OF APPLIED STATISTICS
Serial Year
2009
Journal title
JOURNAL OF APPLIED STATISTICS
Record number
712338
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