A two-sample test for comparison of long memory parameters.

Donatas Surgailis (Académie des Sciences de Lituanie)
vendredi 11 juin 2010

Résumé : We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory 21 [989—1029]. 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 [Abadir, K., Distaso, W., Giraitis, L., 2009. Two estimators of the long-run variance : Beyond short memory. Journal of Econometrics 150, 56—70]. 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.

The talk is based on joint work with Frederic Lavancier and Anne Philippe (Nantes).


Cet exposé se tiendra à 11h00 en salle C20-13, 20ème étage, Université Paris 1, Centre Pierre Mendes-France, 90 rue de Tolbiac, 75013 Paris (métro : Olympiades).


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