Occasional Structural Breaks and Long Memory

Clive Granger and Namwon Hyung
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Namwon Hyung: Department of Economics, University of California

Annals of Economics and Finance, 2013, vol. 14, issue 2, 739-764

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: 2013
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Working Paper: Occasional Structural Breaks and Long Memory (1999)
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