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dc.contributor.authorKruse, Robinsonen_US
dc.contributor.authorSibbertsen, Philippen_US
dc.date.accessioned2011-03-25en_US
dc.date.accessioned2012-11-06T15:27:20Z-
dc.date.available2012-11-06T15:27:20Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/66020-
dc.description.abstractWe 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.isoengen_US
dc.publisherWirtschaftswiss. Fak., Leibniz Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 455en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordLong memoryen_US
dc.subject.keywordchanging persistenceen_US
dc.subject.keywordstructural breaken_US
dc.subject.keywordsemi-parametric estimationen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwTheorieen_US
dc.titleLong memory and changing persistenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn635637022en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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