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 the fractional differencing parameter is biased away...

Recently, there has been an upsurge of interest on 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 the fractional differencing parameter is biased away...

Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have documented the fact that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is...