Description
Testing True Long Memory Against Spurious Long Memory.
Description
Implements a test for distinguishing between true long memory and spurious long memory. Reference: Qu, Z. (2011). "A Test Against Spurious Long Memory." Journal of Business & Economic Statistics, 29(3), 423–438. <doi:10.1198/jbes.2010.09153>.
README.md
SpuriousMemory
Test for the null hypothesis of fractional integration against spurious long memory
Overview
Detecting spurious long memory in time series using the method of Qu (2011). Distinguishes between true stationary long memory and spurious long memory caused by level shifts or smooth trends.
Example
library(SpuriousMemory)
# Data
data(RV5min)
result <- Longmemorytest(RV5min, demean = TRUE, alpha = 0.05)
References
- Qu, Z. (2011). "Test Against Spurious Long Memory". Journal of Business & Economic Statistics, 29(3), 423-438.