Long memory and changing persistence
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- Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017.
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More about this item
KeywordsLong memory; changing persistence; structural break; semi-parametric estimation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-11 (All new papers)
- NEP-ECM-2010-09-11 (Econometrics)
- NEP-ETS-2010-09-11 (Econometric Time Series)
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