Qu.test {LongMemoryTS} | R Documentation |
Qu test for true long memory against spurious long memory.
Description
Qu.test
Test statistic of Qu (2011) for the null hypotesis of true long memory
against the alternative of spurious long memory.
Usage
Qu.test(data, m, epsilon = 0.05)
Arguments
data |
data vector of length T. |
m |
bandwith parameter specifying the number of Fourier frequencies used
for the estimation usually |
epsilon |
trimming parameter |
References
Qu, Z. (2011): A Test Against Spurious Long Memory. Journal of Business and Economic Statistics, Vol. 29, No. 3, pp. 423 - 438.
Examples
library(fracdiff)
T<-500
m<-floor(1+T^0.75)
series<-fracdiff.sim(n=T,d=0.4)$series
shift.series<-ARRLS.sim(T=500,phi=0.5, sig.shift=0.75, prob=5/T, sig.noise=1)
ts.plot(series, ylim=c(min(min(series),min(shift.series)),max(max(series),max(shift.series))))
lines(shift.series, col=2)
Qu.test(series,m=m, epsilon=0.05)
Qu.test(shift.series,m=m, epsilon=0.05)
[Package LongMemoryTS version 0.1.0 Index]