Tests of bias in log-periodogram regression

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 102
Issue: 2
Pages: 83-86

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.

Technical Details

RePEc Handle
repec:eee:ecolet:v:102:y:2009:i:2:p:83-86
Journal Field
General
Author Count
2
Added to Database
2026-01-25