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https://hdl.handle.net/10419/66020
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Kruse, Robinson | en |
dc.contributor.author | Sibbertsen, Philipp | en |
dc.date.accessioned | 2011-03-25 | - |
dc.date.accessioned | 2012-11-06T15:27:20Z | - |
dc.date.available | 2012-11-06T15:27:20Z | - |
dc.date.issued | 2010 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannover | en |
dc.relation.ispartofseries | |aDiskussionsbeitrag |x455 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Long memory | en |
dc.subject.keyword | changing persistence | en |
dc.subject.keyword | structural break | en |
dc.subject.keyword | semi-parametric estimation | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Theorie | en |
dc.title | Long memory and changing persistence | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 635637022 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:han:dpaper:dp-455 | en |
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