On the power of R/S-type tests under contiguous and semi long memory alternatives

Giraitis, Liudas;Kokoszka, Piotr;Leipus, Remigijus;Teyssiere, Gilles
(2002)

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Authors
  • Giraitis, Liudas
    Author
  • Kokoszka, Piotr
    Author
  • Leipus, Remigijus
    Author
  • Teyssiere, Gilles
    Author
Abstract
The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the 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 mixed operator (1-rL)d in the ARFIMA, 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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Giraitis, L., Kokoszka, P., Leipus, R., & Teyssiere, G. (2002). On the power of R/S-type tests under contiguous and semi long memory alternatives (CORE Discussion Papers 2002/57). https://hdl.handle.net/2078.5/29023