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Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
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http://hdl.handle.net/10419/66020
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| Title: | | Long memory and changing persistence  |
| Authors: | | Kruse, Robinson Sibbertsen, Philipp |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 455 |
| 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. |
| Subjects: | | Long memory changing persistence structural break semi-parametric estimation |
| JEL: | | C12 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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