长记忆参数比较的双样本检验
A two-sample test for comparison of long memory parameters
摘要：
我们构建了一个双样本检验，用于比较基于[Giraitis L.，莱普斯河Philippe，A.，2006.一个测试平稳性与趋势和单位根的一个广泛的类相关的错误。计量经济学理论21，989- 1029]。两个样本具有相同的长度，并且可以是相互独立的或依赖的。在后一种情况下，检验统计量被修改，使其渐近自由的样本之间的长期相关系数。为了减小测试对带宽参数选择的敏感性，使用[Abadir，K.，Distaso，W.，吉赖蒂斯湖2009.长期方差的两个估计：超越短期记忆。Journal of Econometrics 150，56- 70].仿真研究表明，上述选择的带宽导致一个很好的大小，我们的比较测试的分数和ARMA参数的模拟系列的大多数值。
英文摘要：
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory 21, 989--1029]. The two samples have the same length and can be mutually independent or dependent. In the latter case, the test statistic is modified to make it asymptotically free of the long-run correlation coefficient between the samples. To diminish the sensitivity of the test on the choice of the bandwidth parameter, an adaptive formula for the bandwidth parameter is derived using the asymptotic expansion in [Abadir, K., Distaso, W., Giraitis, L., 2009. Two estimators of the long-run variance: Beyond short memory. Journal of Econometrics 150, 56--70]. A simulation study shows that the above choice of bandwidth leads to a good size of our comparison test for most values of fractional and ARMA parameters of the simulated series.
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