Long-memory versus structural breaks: An overview

Philipp Sibbertsen

No 2001,28, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

Keywords: Long memory; structural breaks; trends (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (4)

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Journal Article: Long memory versus structural breaks: An overview (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200128

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