Distinguishing between breaks in the mean and breaks in persistence under long memory

Simon Wingert, Mwasi Paza Mboya and Philipp Sibbertsen

Economics Letters, 2020, vol. 193, issue C

Abstract: A procedure to discriminate between stationarity, a break in the mean and a break in persistence in a time series that may exhibit long memory is introduced. The asymptotic properties of test statistics based on the CUSUM statistic are studied. In a Monte Carlo study we further analyze the finite sample properties of the procedure. An application to inflation rates shows the potential of our procedure for future research.

Keywords: Long memory; Changing persistence; Structural break (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302196

DOI: 10.1016/j.econlet.2020.109338

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