Long memory and changing persistence

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

Autoren

  • 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.
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