Long memory and changing persistence

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autorschaft

  • Robinson Kruse
  • Philipp Sibbertsen

Organisationseinheiten

Externe Organisationen

  • Aarhus University
Forschungs-netzwerk anzeigen

Details

OriginalspracheEnglisch
Seiten (von - bis)268-272
Seitenumfang5
FachzeitschriftEconomics letters
Jahrgang114
Ausgabenummer3
Frühes Online-Datum3 Nov. 2011
PublikationsstatusVeröffentlicht - März 2012

Abstract

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

ASJC Scopus Sachgebiete

Zitieren

Long memory and changing persistence. / Kruse, Robinson; Sibbertsen, Philipp.
in: Economics letters, Jahrgang 114, Nr. 3, 03.2012, S. 268-272.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Kruse, R & Sibbertsen, P 2012, 'Long memory and changing persistence', Economics letters, Jg. 114, Nr. 3, S. 268-272. https://doi.org/10.1016/j.econlet.2011.10.026
Kruse R, Sibbertsen P. Long memory and changing persistence. Economics letters. 2012 Mär;114(3):268-272. Epub 2011 Nov 3. doi: 10.1016/j.econlet.2011.10.026
Kruse, Robinson ; Sibbertsen, Philipp. / Long memory and changing persistence. in: Economics letters. 2012 ; Jahrgang 114, Nr. 3. S. 268-272.
Download
@article{41e7dd27762c474298de0d31129f3117,
title = "Long memory and changing persistence",
abstract = "We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.",
keywords = "Changing persistence, Long memory, Semi-parametric estimation, Structural break",
author = "Robinson Kruse and Philipp Sibbertsen",
note = "Funding Information: We would like to thank an anonymous referee for insightful comments. Robinson Kruse gratefully acknowledges financial support from CREATES funded by the Danish National Research Foundation. Philipp Sibbertsen gratefully acknowledges the financial support of the DFG under the grant “Specification of nonlinear time series models”. ",
year = "2012",
month = mar,
doi = "10.1016/j.econlet.2011.10.026",
language = "English",
volume = "114",
pages = "268--272",
journal = "Economics letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "3",

}

Download

TY - JOUR

T1 - Long memory and changing persistence

AU - Kruse, Robinson

AU - Sibbertsen, Philipp

N1 - Funding Information: We would like to thank an anonymous referee for insightful comments. Robinson Kruse gratefully acknowledges financial support from CREATES funded by the Danish National Research Foundation. Philipp Sibbertsen gratefully acknowledges the financial support of the DFG under the grant “Specification of nonlinear time series models”.

PY - 2012/3

Y1 - 2012/3

N2 - We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

AB - We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

KW - Changing persistence

KW - Long memory

KW - Semi-parametric estimation

KW - Structural break

UR - http://www.scopus.com/inward/record.url?scp=82655186679&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2011.10.026

DO - 10.1016/j.econlet.2011.10.026

M3 - Article

AN - SCOPUS:82655186679

VL - 114

SP - 268

EP - 272

JO - Economics letters

JF - Economics letters

SN - 0165-1765

IS - 3

ER -