Details
| Original language | English |
|---|---|
| Pages (from-to) | 268-272 |
| Number of pages | 5 |
| Journal | Economics letters |
| Volume | 114 |
| Issue number | 3 |
| Early online date | 3 Nov 2011 |
| Publication status | Published - Mar 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.
Keywords
- Changing persistence, Long memory, Semi-parametric estimation, Structural break
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Economics letters, Vol. 114, No. 3, 03.2012, p. 268-272.
Research output: Contribution to journal › Article › Research › peer review
}
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 -