Long-range dependence and structural changes in level are intimely related phenomena and it is very difficult to separate the two effects. In this article, we present an empirical procedure to distinguish between long-memory and occasionalbreak processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.

An empirical strategy to detect spurious effects in long memory and occasional-break processes

GEROLIMETTO, Margherita;
2009

Abstract

Long-range dependence and structural changes in level are intimely related phenomena and it is very difficult to separate the two effects. In this article, we present an empirical procedure to distinguish between long-memory and occasionalbreak processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/20162
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