W_multi {LongMemoryTS}

Helper function for MLWS test for multivariate spurious long memory.

Description

Multivariate local Whittle Score type test for the null hypothesis of true long memory against the alternative of spurious long memory suggested by Sibbertsen, Leschinski and Holzhausen (2015).

Usage

W_multi(X, d_vec, m, epsilon, eta)

Arguments

X

data matrix

d_vec

estimated vector of memory parameters.

m

bandwith parameter specifying the number of Fourier frequencies used for the estimation usually floor(1+T^delta), where 0.5<delta<0.8 for consistency.

epsilon

trimming parameter epsilon=0.05 by default. Determines minimum number of Fourier frequencies used in test statistic. For T>500 it is recommended to use epsilon=0.02. Confer Sibbertsen, Leschinski, Holzhausen (2015) for further details.

eta

weight vector.

Details

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References

Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.