Perron, Pierre; Qu, Zhongjun - Department of Economics, Boston University - 2008
Recently, there has been an upsurge of interest in the possibility of confusing long memory and structural changes in … level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of … decay, akin to a long memory process. Partly based on results in Perron and Qu (2007), we analyze the properties of the …