Can Markov switching model generate long memory?

In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in terms of the behavior of the second moments of partial sums. The relationship between the Markov switching model and long memory is reexamined here. Common estimators of the long memory parameter are found to be extremely biased when applied to the data generated by the Markov switching model. An explanation for these findings is provided.

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Year of publication:	2014
Authors:	Baek, Changryong ; Fortuna, Natércia ; Pipiras, Vladas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 1, p. 117-121
Publisher:	Elsevier
Subject:	Markov switching model \| Long memory \| Changes in mean

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010784971