Authors: Sibbertsen, Philipp
Title: Long-Memory versus Structural Breaks: An overview
Language (ISO): en
Abstract: 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 noties It can be seen that it is hard to distinguish deterministic trends from long-range dependence.
Subject Headings: long-memory
structural breaks
trends
URI: http://hdl.handle.net/2003/5279
http://dx.doi.org/10.17877/DE290R-14206
Issue Date: 2001
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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