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).
W_multi(X, d_vec, m, epsilon, eta)data matrix
estimated vector of memory parameters.
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.
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.
weight vector.
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Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.