Long memory and changing persistence

Robinson Kruse and Philipp Sibbertsen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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.

Keywords: Long memory; changing persistence; structural break; semi-parametric estimation (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 10
Date: 2010-08-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: Long memory and changing persistence (2012)
Working Paper: Long memory and changing persistence (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2010-42

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