Long memory and changing persistence

We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true process exhibits a change in persistence. Simulationresults confirm theoretical arguments which suggest that evidence for long memory islikely to be found...

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Year of publication:	2010-08-01
Authors:	Kruse, Robinson ; Sibbertsen, Philipp
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Persistenz \| changing persistence \| Strukturbruch \| structural break \| Langzeitgedächtnis \| long term memory \| Semiparametrische Schätzung \| semi-parametricestimation

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Extent:	397312 bytes 10 p. application/pdf
Series:	Leibniz Universität Hannover - Wirtschaftswissenschaftliche Fakultät - Diskussionspapiere Discussion Paper ; No. 455 (2011)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; Business administration. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009302607