Long-memory versus structural breaks: An overview
ثبت نشده
چکیده
We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence We consider tests on structural breaks in the long memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long memory is not It can be seen that it is hard to distinguish deterministic trends from long range dependence
منابع مشابه
True vs . Spurious Long Memory : A Monte Carlo Study with an Application to Credit Data ∗
A common feature of financial time series is their strong persistence. However, long memory may just be the spurious effect of the presence of one or more structural breaks. There exist four testing procedures to evaluate this issue. All tests are constructed under the null of true long memory versus the alternative of spurious long memory induced by a structural break. We consider the " Tempor...
متن کاملLong Memory and Structural Breaks in Finnish and Swedish Party Popularity Series∗
A time series with a unit root or fractional unit root can be miscategorized in stationarity tests if the series has structural breaks. This finding is tested on Finnish and Swedish party popularity series. The composition and nature of popularity series provide reasons to assume fractional dynamics. The years included, 1987-2001, offer several reasons for the existence of structural breaks. Th...
متن کاملTesting structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
Several studies have found that occasional-break processes may produce realizations with slowly decaying autocorrelations, which is hardly distinguished from the long memory phenomenon. In this paper we suggest the use of the Box-Pierce statistics to discriminate long memory and occasional-break processes. We conduct an extensive Monte Carlo experiment to examine the finite sample properties of...
متن کاملA Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
We propose a flexible model that is able to simultaneously approximate long memory behavior as well as incorporate structural breaks in the model parameters. Our model is an extension of the heterogeneous autoregressive (HAR) model, which is designed to model and forecast volatility of financial time series. In an extensive empirical evaluation involving several volatility series, we demonstrat...
متن کاملSimple Wald Tests of the Fractional Integration Parameter: an Overview of New Results
This paper presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against fractional I(d) alternatives, with d ∈ (0, 1), allowing for unknown deterministic components and serial correlation in the error term. Specifically, we argue that the EFDF test has better power properties ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2011