Origins of Spurious Long Memory

Christian Leschinski and Philipp Sibbertsen

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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 $O(T^2d)$ for long memory processes and $O(T^2)$ for a random walk. This order arises whenever both the mean changes and sample fractions at which they occur are non-degenerate, asymptotically.

Keywords: Long Memory; Spurious Long Memory; Structural Change (search for similar items in EconPapers)
JEL-codes: C18 C32 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2017-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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