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A multivariate test against spurious long memory
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DOI：10.1016/j.jeconom.2017.07.005.png)
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Abstract
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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.
Keywords:
Multivariate long memory
Semiparametric estimation
Spurious long memory
Fractional cointegration
Volatility
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