W_multi function

Helper function for MLWS test for multivariate spurious long memory.

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)

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

add details here

References

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