Distinguishing between Long-Range Dependence and Deterministic Trends

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DC Field	Value	Language
dc.contributor.author	Sibbertsen, Philipp	de
dc.contributor.author	Venetis, Ioannis	de
dc.date.accessioned	2004-12-06T18:41:00Z	-
dc.date.available	2004-12-06T18:41:00Z	-
dc.date.issued	2003	de
dc.identifier.uri	http://hdl.handle.net/2003/4978	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15110	-
dc.description.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.	en
dc.format.extent	155725 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	long memory	en
dc.subject	trends	en
dc.subject	log-periodogram regression	en
dc.subject	inflation rates	en
dc.subject.ddc	310	de
dc.title	Distinguishing between Long-Range Dependence and Deterministic Trends	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 475

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