期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2008
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：This paper considers the impact of ordinary least squares (OLS) detrending and the first
difference (FD) detrending on autocorrelation estimation in the presence of long memory
and deterministic trends. We show that the FD detrending results in inconsistent
autocorrelation estimates when the error term is stationary. Thus, the FD detrending should
not be employed for autocorrelation estimation of the detrended series when constructing
e.g. portmanteau-type tests. In an empirical application of volume in Dow Jones stocks, we
show that for some stocks, OLS and FD detrending result in substantial differences in ACF
estimates.
关键词：autocorrelations, OLS, first difference detrending, long memory.
