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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kruse, Robinson | | en_US |
| dc.contributor.author | | Sibbertsen, Philipp | | en_US |
| dc.date.accessioned | | 2011-03-25 | | en_US |
| dc.date.accessioned | | 2012-11-06T15:27:20Z | | - |
| dc.date.available | | 2012-11-06T15:27:20Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66020 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Wirtschaftswiss. Fak., Leibniz Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 455 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Long memory | | en_US |
| dc.subject.keyword | | changing persistence | | en_US |
| dc.subject.keyword | | structural break | | en_US |
| dc.subject.keyword | | semi-parametric estimation | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Long memory and changing persistence | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 635637022 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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