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Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study

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  • Luisa Bisaglia

    ()

  • Margherita Gerolimetto

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10260-008-0112-x
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Bibliographic Info

Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 18 (2009)
Issue (Month): 4 (November)
Pages: 543-553

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Handle: RePEc:spr:stmapp:v:18:y:2009:i:4:p:543-553

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Related research

Keywords: Long memory; Occasional structural breaks; Box–Pierce test;

References

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  1. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
  2. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  3. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  4. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  5. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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Cited by:
  1. Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Hannover Economic Papers (HEP) dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

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