EconStor >
Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/66020
  
Title:Long memory and changing persistence PDF Logo
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

Files in This Item:
File Description SizeFormat
635637022.pdf388.27 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/66020

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.