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Long-memory versus structural breaks: An overview

Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2001

We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence … 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. …

Persistent link: https://www.econbiz.de/10010955378

Long memory versus structural breaks: An overview

Sibbertsen, Philipp - In: Statistical Papers 45 (2004) 4, pp. 465-515

Persistent link: https://www.econbiz.de/10008533822

Lineare versus nichtlineare Modelle für univariate Zeitreihen : Diagnoseverfahren und Tests

Schuhr, Roland - 1991

Persistent link: https://www.econbiz.de/10000830424

Athens Conference on Applied Probability and Time Series Analysis

1996

Persistent link: https://www.econbiz.de/10000981761

The Cyclical and Trend Behavour of Australian Investment and Savings

Felmingham, Bruce; Cooray, Arusha - In: Journal of Business Cycle Measurement and Analysis 2007 (2007) 3, pp. 367-386

A spectral analysis of the Australian time series for the investment and savings ratios on quarterly data over the period from September 1959 to December 2005 reveals that the major cyclical components of the savings and investment ratios cohere strongly. This suggests there is a medium to long...

Persistent link: https://www.econbiz.de/10008492365

Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend

Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey- Fuller (FDF) test for I(1) against F I(d) processes with d 2 [0; 1): Invariant tests to the presence of a drift under the null of...

Persistent link: https://www.econbiz.de/10010547305

Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks

Blöchl, Andreas - Volkswirtschaftliche Fakultät, … - 2014

On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point...

Persistent link: https://www.econbiz.de/10011106294

Spurious Regression and Trending Variables

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2007

This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...

Persistent link: https://www.econbiz.de/10011109207

Spurious regression and econometric trends

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Society for Computational Economics - SCE - 2006

Persistent link: https://www.econbiz.de/10005342927

Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

Gil-Alana, Luis A. - In: Empirical Economics 28 (2003) 1, pp. 101-113

Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying...

Persistent link: https://www.econbiz.de/10005382147