Long memory and changing persistence
Autor: Robinson Kruse and Philipp Sibbertsen
Nummer: 455, Aug 2010, pp. 10
JEL-Class: C12, C22
Abstract:
We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed test by Sibbertsen and Kruse (2009) is shown to exhibit noticeable power to discriminate between long memory and a structural change in autoregressive parameters.
Zusammenfassung:
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