We test for long memory in 3and 6-month daily returns series on Eurocurrency deposits denominated in Japanese yen (Euroyen). The fractional differencing parameter is estimated using the spectral regression method. The conflicting evidence obtained from the application of tests against a unit root as well as tests against stationarity provides the motivation for testing for fractional roots. Sig...

For the case of the presence of onetime structural change in the sample, Leybourne and Newbold (2000) and Cook (2004) investigated the behavior of the WS tests. Leybourne and Newbold concluded that the weighted symmetric version of the DF t-type test will properly reject the unit root null hypothesis at some specified significance level when the true data-generating process is an I (1) process....

Abstract This manuscript considers locally best invariant tests for sphericity in heterogeneous panel models, which are given as weighted sums of individual tests. An exact integral expression and a saddlepoint approximation for their null distributions are provided. The saddlepoint approximation generalizes the earlier result of Broda, Paolella, and Tchopourian (2006). Despite having been deri...

bivariate vector autoregression (VAR) for the longterm and short-term interest rates and testing the restrictions implied by the EH. This test was first suggested by Campbell and Shiller (1987); however, the procedure used here was developed by Bekaert and Hodrick (2001).1 Second, this paper deals directly with the issue of stationarity. While stationarity is frequently considered in testing th...

We examine in detail the various attributes of a time series data set for financial returns. We consider multiple time series models in order to determine which will proved the best fit. Particular attention is placed on the mathematical properties of the most common models. Topic addressed include: differencing, stationarity, autocorrelation, lag, acf, partial acf, independence, AR process, MA...