Long memory and changing persistence

Yves Kruse; Philipp Sibbertsen

doi:10.1016/j.econlet.2011.10.026

Long memory and changing persistence

Yves Kruse, Philipp Sibbertsen

Research output: Contribution to journal › Article › Academic › peer-review

5 Citations (Scopus)

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.

Original language	English
Pages (from-to)	268-272
Number of pages	5
Journal	Economics Letters
Volume	114
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.10.026
Publication status	Published - Mar-2012
Externally published	Yes

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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.",

author = "Yves Kruse and Philipp Sibbertsen",

year = "2012",

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language = "English",

volume = "114",

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journal = "Economics Letters",

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AU - Sibbertsen, Philipp

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DO - 10.1016/j.econlet.2011.10.026

M3 - Article

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VL - 114

SP - 268

EP - 272

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Long memory and changing persistence

Abstract

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