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Acta Applicandae Mathematica

, Volume 78, Issue 1–3, pp 285–299 | Cite as

On the Power of R/S-Type Tests under Contiguous and Semi-Long Memory Alternatives

  • Liudas Giraitis
  • Piotr Kokoszka
  • Remigijus Leipus
  • Gilles Teyssière
Article

Abstract

The paper deals with the power and robustness of the R/S type tests under “contiguous” alternatives. We briefly review some long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated when replacing the fractional difference operator (1−L) d by the operator (1−rL) d , with r<1 close to 1, in the FARIMA, LARCH and ARCH time series models. We also investigate the Gegenbauer process with a pole of the spectral density at frequency close to zero.

long memory Gegenbauer process ARCH processes linear ARCH semi-long memory modified R/S statistic KPSS statistic V/S statistic 

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Copyright information

© Kluwer Academic Publishers 2003

Authors and Affiliations

  • Liudas Giraitis
  • Piotr Kokoszka
  • Remigijus Leipus
  • Gilles Teyssière

There are no affiliations available

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