A Test Against Spurious Long Memory

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MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Using Theorem 2 of Robinson (1995), an extension of arguments in Perron and Qu (2010) and Qu (2011), provides Ix ( λj )= Iv (λj)+ Iu (λj)+2Ivu (λj) , (2) where Iv (λj ) = Op(λ−2dj ), Iu(λj ) = Op(T −1λ−2j ), and Ivu(λj ) = Op(T −1/2λ−(1+d)j ).”
A simple test of changes in mean in the possible presence of long‐range dependence (2011, background): “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.”
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (2014, background): “From MP, Perron and Qu (2010) and Qu (2011): Iyu(λk) = Op(T−1/2λ −(1+d0) k ) and fk = fz,k = fy,k + fu,k = Gλ −2d0 k + GuT −1λ−2k .”
Structural breaks in time series (2013, methodology): “We did not have the space to cover, for example, frequency domain and wavelet-based methods. The interested reader may refer Picard (1985), Adak (1998), Lavielle and Ludena (2000) and Ombao et al.”