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

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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.

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Authors
  1. Liudas Giraitis
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  2. Piotr Kokoszka
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  3. Remigijus Leipus
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  4. Gilles Teyssière
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Giraitis, L., Kokoszka, P., Leipus, R. et al. On the Power of R/S-Type Tests under Contiguous and Semi-Long Memory Alternatives. Acta Applicandae Mathematicae 78, 285–299 (2003). https://doi.org/10.1023/A:1025702003631

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  • DOI: https://doi.org/10.1023/A:1025702003631

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