Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66020
Authors: 
Kruse, Robinson
Sibbertsen, Philipp
Year of Publication: 
2010
Series/Report no.: 
Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 455
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.
Subjects: 
Long memory
changing persistence
structural break
semi-parametric estimation
JEL: 
C12
C22
Document Type: 
Working Paper

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