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

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Simon Wingert
  • Mwasi Paza Mboya
  • Philipp Sibbertsen

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OriginalspracheEnglisch
Aufsatznummer109338
FachzeitschriftEconomics Letters
Jahrgang193
Frühes Online-Datum25 Juni 2020
PublikationsstatusVeröffentlicht - Aug. 2020

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.

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Distinguishing between breaks in the mean and breaks in persistence under long memory. / Wingert, Simon; Mboya, Mwasi Paza; Sibbertsen, Philipp.
in: Economics Letters, Jahrgang 193, 109338, 08.2020.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Wingert S, Mboya MP, Sibbertsen P. Distinguishing between breaks in the mean and breaks in persistence under long memory. Economics Letters. 2020 Aug;193:109338. Epub 2020 Jun 25. doi: 10.1016/j.econlet.2020.109338
Wingert, Simon ; Mboya, Mwasi Paza ; Sibbertsen, Philipp. / Distinguishing between breaks in the mean and breaks in persistence under long memory. in: Economics Letters. 2020 ; Jahrgang 193.
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