IDEAS home Printed from https://ideas.repec.org/p/hit/econdp/2010-07.html
   My bibliography  Save this paper

Estimating a change point in the long memory parameter

Author

Listed:
  • Yamaguchi, Keiko

Abstract

We propose an estimator of change point in the long memory parameter d of an ARFIMA(p, d, q) process using the sup Wald test. We derive the consistency and the rate of convergence of the parameter. The convergence rate of our change point estimator depends on the magnitude of a shift. Furthermore, we obtain the limiting distribution of our change point estimator without depending on the distribution of the process. Therefore, we can construct the confidence interval of the change point. Simulations show the validity of the asymptotic theory of our estimator if the sample size is large enough. We apply our change point estimator to the yearly Nile river minimum time series.

Suggested Citation

  • Yamaguchi, Keiko, 2010. "Estimating a change point in the long memory parameter," Discussion Papers 2010-07, Graduate School of Economics, Hitotsubashi University.
  • Handle: RePEc:hit:econdp:2010-07
    as

    Download full text from publisher

    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/18520/3/070econDP10-07.pdf
    Download Restriction: no

    More about this item

    Keywords

    Break in persistence; long memory; change point;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hit:econdp:2010-07. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Resources Section, Hitotsubashi University Library). General contact details of provider: http://edirc.repec.org/data/fehitjp.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.