.png){kind=icon}
返回
A multivariate test against spurious long memory
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2017.07.005.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper provides a multivariate score-type test against spurious long memory. We prove the consistency of the test against the alternatives of random level shifts and smooth trends. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. To apply the test to fractionally cointegrated series, the test statistic is calculated for the linearly transformed system after estimating the cointegrating matrix. We derive the limiting distribution and show consistency of this procedure. The test is applied to log-absolute returns and log-realized volatilities of the S&P 500, DAX, FTSE, and NIKKEI. (C) 2017 Elsevier B.V. All rights reserved.
Keyword:
Multivariate long memory
Semiparametric estimation
Spurious long memory
Fractional cointegration
Volatility
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
引用论文
Medication adherence, hospitalization, and healthcare resource utilization and costs in patients with pulmonary arterial hypertension treated with endothelin receptor antagonists or phosphodiesterase type‐5 inhibitors内皮素受体拮抗剂或5型磷酸二酯酶抑制剂治疗肺动脉高压患者的药物依从性、住院和医疗资源利用及费用OAAI
OAAI分享收藏MULTIPLE LOCAL WHITTLE ESTIMATION IN STATIONARY SYSTEMS平稳系统中的多重局部WHITTLE估计.png)
ANNALS OF STATISTICSOAAI
ANNALS OF STATISTICSIF3.7
OAAI分享收藏
查看更多内容