This paper studies properties of tests for long memory for general fourth order stationary sequences. We propose a rescaled variance test based on V/S statistic which is shown to have a simpler asymptotic distribution and to achieve a somewhat better balance of size and power than Lo's (Econometrica 59 (1991) 1279) modiÿed R/S test and the KPSS test of… (More)
The fee code for users of the Transactional Reporting Service is 1081-1826/02 $10.00. For those organizations that have been granted a photocopy license with CCC, a separate system of payment has been arranged. Address all other inquiries to the Subsidiary Rights Manager, Abstract. We show that a class of microeconomic behavioral models with interacting… (More)
We consider the long memory and leverage properties of a model for the conditional variance V 2 t of an observable stationary sequence X t , where V 2 t is the square of an inhomogeneous linear combination of Xs, s < t, with square summable weights bj. This model, which we call linear ARCH (LARCH), specializes, when V 2 t depends only on Xt−1, to the… (More)
The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis et al. (1999b). We consider estimation methods based on the partial sums of the squared observations, which are similar in spirit to the classical R/S analysis, as well as spectral domain approximate maximum likelihood… (More)
The paper studies the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggre-gated processes which can be obtained from simpler, " elementary " , cases. In particular cases of the mixture densities, the structure (moving average representation)… (More)
The paper deals with the power and robustness of the R/S type tests under " contiguous " alternatives. We briefly review some long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated when replacing the fractional difference operator (1 − L) d… (More)
In this paper, following , the equivalence of the tail probabilities for the maximum and the sum with heavy-tailed summands under the negative dependence structure is investigated. Applications to some risk models with financial and insurance risks are provided. The Monte-Carlo simulation study illustrates the results.