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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
28_01.pdf | DNB | 292.62 kB | Adobe PDF | View/Open |
tr28-01.ps | 584.42 kB | Postscript | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org