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.

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Year of publication:	2010
Authors:	Kruse, Robinson ; Sibbertsen, Philipp
Publisher:	Hannover : Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Schätztheorie \| Strukturbruch \| Theorie \| Long memory \| changing persistence \| structural break \| semi-parametric estimation

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Series:	Diskussionsbeitrag ; 455
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	635637022 [GVK] hdl:10419/66020 [Handle] RePEc:han:dpaper:dp-455 [RePEc]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010289004