True or Spurious Long Memory? A New Test

By A. Ohanissian, Jeffrey R. Russell, Ruey S. Tsay. 2008

210 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0d54f8fa4db9e6218440262e3e54862ba4d39e76

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Citations in the corpus

Simple (but effective) tests of long memory versus structural breaks (2006, background): “Ohanissian et al. (2004) propose a test of true against spurious long memory by comparing the estimates of d obtained from temporally aggregated series with different degrees of aggregation .”
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (2014, background): “Recent work by Dolado et al. (2005), Ohanissian et al. (2008), Perron and Qu (2010) and Qu (2011) proposed tests in both the time and the frequency domain with varying degrees of success.”
New Evidence on Long-Run Monetary Neutrality (2009, background): “Other authors however have proposed statistics for testing such a relationship based on the invariance property of the long memory parameter to temporal aggregation (Ohanissian et al. 2008).”
Realized Volatility: A Review (2008, background): “However, it is still an open question as to the source of the apparent long memory in the RV, and whether the benefits of combining long memory and nonlinear models will dramatically improve the accuracy in forecasting volatility (Ohanissian et al., 2004a,b).”
A simple test of changes in mean in the possible presence of long‐range dependence (2011, methodology): “Along a different route, the tests proposed by Ohanissian et al. (2008) and Qu (2010) assume the series is from a stationary long memory process under the null hypothesis.”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, background): “See, e.g., Andersen and Bollerslev (1997a) and Ohanissian, Russell, and Tsay (2009) and the many references therein.”
MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Econometric Theory, 29, 2013, 1196–1237. doi:10.1017/S0266466613000042”
Structural breaks in time series (2013, methodology): “Among them are Ohanissian et al. (2008) who used an aggregation approach, Qu (2011) who utilized a frequency domain test statistic, and Shao (2011) who worked with a CUSUM-type statistics.”
A Test Against Spurious Long Memory (2011, methodology): “Note that Ohanissian, Russell, and Tsay (2008) showed that the power of their test is 1 with a sample size of 610,304.”