Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2010
We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true … 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. …