Long memory and changing persistence
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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| Length: | 10 |
| Date of creation: | 01 Aug 2010 |
| Date of revision: | |
| Handle: | RePEc:aah:create:2010-42 |
| Contact details of provider: | Web page: http://www.econ.au.dk/afn/
|
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- 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.
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