Long-Memory versus Structural Breaks: An overview
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Date
2001
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Publisher
Universitätsbibliothek Dortmund
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.
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Keywords
long-memory, structural breaks, trends