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).