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Long memory and changing persistence

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Author Info

  • Robinson Kruse

    ()
    (School of Economics and Management, Aarhus University and CREATES)

  • Philipp Sibbertsen

    ()
    (Leibniz University Hannover, School of Economics and Management, Institute of Statistics)

Abstract

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed test by Sibbertsen and Kruse (2009) is shown to exhibit noticeable power to discriminate between long memory and a structural change in autoregressive parameters.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-42.

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Length: 10
Date of creation: 01 Aug 2010
Date of revision:
Handle: RePEc:aah:create:2010-42

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Long memory; changing persistence; structural break; semi-parametric estimation;

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References

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  1. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  2. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, 05.
  3. Luisa Bisaglia & Margherita Gerolimetto, 2009. "Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study," Statistical Methods and Applications, Springer, vol. 18(4), pages 543-553, November.
  4. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, 05.
  5. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  6. Sibbertsen, Philipp & Willert, Juliane, 2009. "Testing for a break in persistence under long-range dependencies and mean shifts," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-422, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
  8. Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
  9. Noriega, Antonio E. & Ramos-Francia, Manuel, 2009. "The dynamics of persistence in US inflation," Economics Letters, Elsevier, vol. 105(2), pages 168-172, November.
  10. Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.
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Cited by:
  1. Till Strohsal & Lars Winkelmann, 2012. "Assessing the Anchoring of Inflation Expectations," SFB 649 Discussion Papers SFB649DP2012-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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