LongMemoryTS (version 0.1.0)

Qu.test: 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 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 Qu (2011) for further details.

References

Qu, Z. (2011): A Test Against Spurious Long Memory. Journal of Business and Economic Statistics, Vol. 29, No. 3, pp. 423 - 438.

Examples

# NOT RUN {
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)
# }