Estimating a change point in the long memory parameter

Keiko Yamaguchi and 圭子 山口

No 2010-07, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Break in persistence; long memory; change point (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2010-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2010-07

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