Long range dependence and regime switching are very intimely related effects. In this paper we review the link between long memory and structural break processes and the difficulties when trying to distiinguish them. We also describe two procedures to separate the two models: i) an empirical approach ii) a statistical test.
Long memory and regime switching models
GEROLIMETTO, Margherita;
2006-01-01
Abstract
Long range dependence and regime switching are very intimely related effects. In this paper we review the link between long memory and structural break processes and the difficulties when trying to distiinguish them. We also describe two procedures to separate the two models: i) an empirical approach ii) a statistical test.
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