Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172849
Authors: 
Leschinski, Christian
Sibbertsen, Philipp
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 595
Abstract: 
We consider a large class of structural change processes that generate spurious long memory. Among others, this class encompasses structural breaks as well as random level shift processes and smooth trends. The properties of these processes are studied based on a simple representation of their discrete Fourier transform. We find, that under very general conditions all of the models nested in this class generate poles in the periodogram at the zero frequency. These are of order O(T), instead of the usual O(T2d) for long memory processes and O(T2) for a random walk. This order arises whenever both the mean changes and sample fractions at which they occur are non-degenerate, asymptotically
Subjects: 
Long Memory
Spurious Long Memory
Structural Change
JEL: 
C18
C32
Document Type: 
Working Paper

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