Long memory and changing persistence

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

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Year of publication:	2012
Authors:	Kruse, Robinson ; Sibbertsen, Philipp
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 3, p. 268-272
Publisher:	Elsevier
Subject:	Long memory \| Changing persistence \| Structural break \| Semi-parametric estimation

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010572134