Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77239
Authors: 
Sibbertsen, Philipp
Year of Publication: 
2001
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2001,28
Abstract: 
We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence. We consider tests on structural breaks in the long-memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long-memory is not. It can be seen that it is hard to distinguish deterministic trends from long-range dependence.
Subjects: 
Long memory
structural breaks
trends
Document Type: 
Working Paper

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