Semiparametric Detection of Changes in Long Range Dependence

Fabrizio Iacone and Štěpána Lazarová

Journal of Time Series Analysis, 2019, vol. 40, issue 5, 693-706

Abstract: We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifying the data generating process we employ local Whittle estimates which uses only frequencies local to zero. The limit distribution of the test statistic under the null is not standard but it is well known in the literature. A Monte Carlo study shows that this inference procedure performs well in finite samples. We demonstrate the practical utility of these results with an empirical example, where we analyze the inflation rate in Germany for the period 1986–2017.

Date: 2019
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https://doi.org/10.1111/jtsa.12448

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Working Paper: Semiparametric detection of changes in long range dependence (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:40:y:2019:i:5:p:693-706

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