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.
|Date of creation:||01 Aug 2010|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.au.dk/afn/|
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"Testing for a break in persistence under long-range dependencies,"
Hannover Economic Papers (HEP)
dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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Elsevier, vol. 102(1), pages 30-32, January.
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