Can Markov switching model generate long memory?

Changryong Baek, Natércia Fortuna and Vladas Pipiras

Economics Letters, 2014, vol. 124, issue 1, 117-121

Abstract: In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in terms of the behavior of the second moments of partial sums. The relationship between the Markov switching model and long memory is reexamined here. Common estimators of the long memory parameter are found to be extremely biased when applied to the data generated by the Markov switching model. An explanation for these findings is provided.

Keywords: Markov switching model; Long memory; Changes in mean (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 C50 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517651400158X
Full text for ScienceDirect subscribers only

Related works:
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:124:y:2014:i:1:p:117-121

DOI: 10.1016/j.econlet.2014.04.030

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 ().