Baek, Changryong; Fortuna, Natércia; Pipiras, Vladas - In: Economics Letters 124 (2014) 1, pp. 117-121
In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in … memory is reexamined here. Common estimators of the long memory parameter are found to be extremely biased when applied to …