Regime switching model: real or spurious long memory?

Dominique Guegan () and Stéphanie Rioublanc ()
Additional contact information
Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Stéphanie Rioublanc: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior. Analyzing the value of sum of the transition probabilities and the number of switches inside such a model, we show their impact to create long memory. The ability of the true Markov switching model to predict is compared with the forecasts obtained from a long memory process adjusted on data derived from the former model. It is shown that, in certain cases, this spurious long memory behavior can be benefit to get better forecasts.

Keywords: jumps; forecasts; FARMA processes; Markov switching processes; Markov switching model; FARMA processus; prévisions; sauts (search for similar items in EconPapers)
Date: 2005-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00189208v1
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in 2005

Downloads: (external link)
https://shs.hal.science/halshs-00189208v1/document (application/pdf)

Related works:
Working Paper: Regime switching models: real or spurious long memory? (2005)
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:hal:journl:halshs-00189208

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().