DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

Frédéric Lavancier, Remigijus Leipus, Anne Philippe and Donatas Surgailis

Econometric Theory, 2013, vol. 29, issue 5, 1009-1056

Abstract: This article deals with detection of a nonconstant long memory parameter in time series. The null hypothesis presumes stationary or nonstationary time series with a constant long memory parameter, typically an I (d) series with d > −.5 . The alternative corresponds to an increase in persistence and includes in particular an abrupt or gradual change from I (d1) to I (d2), −.5

Date: 2013
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