Occasional Structural Breaks and Long Memory

Clive W. J. Granger and Namwon Hyung

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.

Date: 1999-06
View list of references View citations in EconPapers

Downloads: (external link)
ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9914.pdf (application/pdf)
http://www.econ.ucsd.edu/papers/files/ucsd9914.pdf (application/pdf)

Related works:
Working Paper: Occasional Structural Breaks and Long Memory (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cdl:ucsdec:99-14

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().