@techreport{Kruse2010Long,
abstract = {We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for 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.},
address = {Hannover},
author = {Robinson Kruse and Philipp Sibbertsen},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; C22; 330; Long memory; changing persistence; structural break; semi-parametric estimation; Sch\"{a}tztheorie; Strukturbruch; Theorie},
language = {eng},
number = {455},
publisher = {Wirtschaftswiss. Fak., Leibniz Univ.},
title = {Long memory and changing persistence},
type = {Discussion Paper, Wirtschaftswissenschaftliche Fakult\"{a}t, Leibniz Universit\"{a}t Hannover},
url = {http://hdl.handle.net/10419/66020},
year = {2010}
}
