Details
| Original language | English |
|---|---|
| Article number | 109338 |
| Journal | Economics Letters |
| Volume | 193 |
| Early online date | 25 Jun 2020 |
| Publication status | Published - 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.
Keywords
- Changing persistence, Long memory, Structural break
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: Economics Letters, Vol. 193, 109338, 08.2020.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Distinguishing between breaks in the mean and breaks in persistence under long memory
AU - Wingert, Simon
AU - Mboya, Mwasi Paza
AU - Sibbertsen, Philipp
N1 - Funding Information: We would like to thank an anonymous reviewer and Kai Wenger for their helpful comments. Financial support of the Deutsche Forschungsgemeinschaft (DFG), Germany is gratefully acknowledged.
PY - 2020/8
Y1 - 2020/8
N2 - 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.
AB - 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.
KW - Changing persistence
KW - Long memory
KW - Structural break
UR - http://www.scopus.com/inward/record.url?scp=85087089337&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2020.109338
DO - 10.1016/j.econlet.2020.109338
M3 - Article
AN - SCOPUS:85087089337
VL - 193
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
M1 - 109338
ER -