Long-memory versus structural breaks: An overview

We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence. We consider tests on structural breaks in the long-memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long-memory is not. It can be seen that it is hard to distinguish deterministic trends from long-range dependence.

MoreLess

Year of publication:	2001
Authors:	Sibbertsen, Philipp
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Zeitreihenanalyse \| Strukturbruch \| Theorie \| Long memory \| structural breaks \| trends

More details

Series:	Technical Report ; 2001,28
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	756685257 [GVK] hdl:10419/77239 [Handle] RePEc:zbw:sfb475:200128 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316582