Title: A multivariate perturbation robust test against spurious long memory
Authors: Vivien Less - Leibniz Universitaet Hannover (Germany) [presenting]
Philipp Sibbertsen - University of Hannover (Germany)
Abstract: A multivariate extension to the local Whittle with noise estimator, as well as a modified score-type test against spurious long memory, are introduced. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle with noise estimator. Explicitly addressing the noise term when approximating the spectral density near the origin improves the efficiency of the estimator and the size and power properties of the test. We prove the consistency and asymptotic normality of the local Whittle estimator, and we derive the limiting distribution and show the consistency of the procedure. An empirical example on the squared returns and the realised volatilities from the Spanish IBEX, Nikkei 250, Swiss Market Index, and KOSPI Composite Index is conducted and shows the usefulness of the procedures.