Breaks or long memory behaviour: An empirical investigation

Lanouar Charfeddine and Dominique Guegan ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Are structural breaks models true switching models or long memory processes? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that switching models and long memory processes can be easily confused. In this paper, using several generating models like the mean-plus-noise model, the STOchastic Permanent BREAK model, the Markov switching model, the TAR model, the sign model and the Structural CHange model (SCH) and several estimation techiques like the GPH technique, the Exact Local Whittle (ELW) and the Wavelet methods, we show that, if the answer is quite simple in some cases, it can be mitigate in other cases. Using French and American inflation rates, we show that these series cannot be characterized by the same class of models. The main result of this study suggests that estimating the long memory parameter without taking account existence of breaks in the data sets may lead to misspecification and to overestimate the true parameter

Keywords: Structural breaks models; Spurious long memory behavior; inflation series (search for similar items in EconPapers)
JEL-codes: C13 C32 E3 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2009-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2009/09022.pdf (application/pdf)

Related works:
Journal Article: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behaviour: an empirical investigation (2012)
Working Paper: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behaviour: an empirical investigation (2012)
Working Paper: Breaks or Long Memory Behaviour: An empirical Investigation (2009)
Working Paper: Breaks or Long Memory Behaviour: An empirical Investigation (2009)
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:mse:cesdoc:09022

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().