Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/184781 
Year of Publication: 
2017
Series/Report no.: 
Working Paper No. 830
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifing the data generating process we employ local Whittle estimates which uses only frequencies local at zero. The limit distribution of the test statistic under the null is not standard but it is well known in the literature. A Monte Carlo study shows that this inference procedure performs well in finite samples.
Subjects: 
Long memory
persistence
break
local Whittle estimate
JEL: 
C22
Document Type: 
Working Paper

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