Occasional Structural Breaks and Long Memory

Clive W. J. Granger and Namwon Hyung
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Namwon Hyung: University of Seoul

No 1999-14, University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: This paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the series rather than an I(d) process.

Keywords: occasional structural breaks; long memory; autocorrelation (search for similar items in EconPapers)
Date: 1999-06-01
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Working Paper: Occasional Structural Breaks and Long Memory (1999)
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