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


  • Luisa Bisaglia


  • Margherita Gerolimetto



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Suggested Citation

  • Luisa Bisaglia & Margherita Gerolimetto, 2009. "Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 543-553, November.
  • Handle: RePEc:spr:stmapp:v:18:y:2009:i:4:p:543-553
    DOI: 10.1007/s10260-008-0112-x

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    References listed on IDEAS

    1. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
    2. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    3. 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.
    4. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    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. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
    2. Kruse, Robinson & Sibbertsen, Philipp, 2012. "Long memory and changing persistence," Economics Letters, Elsevier, vol. 114(3), pages 268-272.


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