Authors: Sibbertsen, Philipp
Venetis, Ioannis
Title: Distinguishing between Long-Range Dependence and Deterministic Trends
Language (ISO): en
Abstract: We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators provides the desired test. Its asymptotic distribution depends on the true memory parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three industrialized countries.
Subject Headings: long memory
trends
log-periodogram regression
inflation rates
URI: http://hdl.handle.net/2003/4978
http://dx.doi.org/10.17877/DE290R-15110
Issue Date: 2003
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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