演講者簡介 : 曲忠軍教授為Ph.D. in Economics，Boston University (2005)。現為美國波士頓大學經濟系助理教授。其主要研究領域為計量經濟學。
演講摘要 : This paper proposes a test statistic for the null hypothesis that a given time series is a stationary long memory process against the alternative hypothesis that it is of short memory, affected by regime change or a smoothly varying trend. The proposed test is in the frequency domain and is based on the derivatives of the profiled local Whittle likelihood function in a degenerating neighborhood of the origin. The assumptions used are mild, allowing for non-Gaussianity. The resulting null limiting distribution is nuisance parameter free and can be easily simulated. Furthermore, the test is straightforward to implement. In particular, it does not require one to specify the form of the trend or the number of different regimes under the alternative hypothesis. Monte Carlo simulation shows that the test has decent size and power properties. The paper also considers three empirical applications to illustrate the usefulness of the test.
