Abstract #301858

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JSM 2003 Abstract #301858
Activity Number: 233
Type: Topic Contributed
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section
Abstract - #301858
Title: Using Temporal Aggregation to Distinguish Between True and Spurious Long Memory
Author(s): Jeffery R. Russell*+ and Ruey-Shiong Tsay
Companies: University of Chicago and University of Chicago
Address: 1101 E 58th St., Chicago, IL, 60637-1511,
Keywords: long memory ; stochastic volatility ; structural break
Abstract:

We introduce a methodology to distinguish between true and spurious long memory by examining the long memory parameter estimate at various levels of temporal aggregation. The test statistic is constructed as the quadratic form of the demeaned Geweke and Porter-Hudak (GPH) estimates at various aggregation levels. Simulations show that, given long time series, this test has good size and excellent power properties. We apply this statistic to a high-frequency foreign exchange dataset and are unable to reject the null hypothesis that the long memory in this data is the result of a true long memory process.

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