Long memory and changing persistence

Robinson Kruse and Philipp Sibbertsen

Economics Letters, 2012, vol. 114, issue 3, 268-272

Abstract: We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

Keywords: Long memory; Changing persistence; Structural break; Semi-parametric estimation (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517651100406X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Long memory and changing persistence (2010)
Working Paper: Long memory and changing persistence (2010)
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: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:3:p:268-272

DOI: 10.1016/j.econlet.2011.10.026

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().