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Distinguishing between breaks in the mean and breaks in persistence under long memory

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  • Wingert, Simon
  • Mboya, Mwasi Paza
  • Sibbertsen, Philipp

Abstract

A procedure to discriminate between stationarity, a break in the mean and a break in persistence in a time series that may exhibit long memory is introduced. The asymptotic properties of test statistics based on the CUSUM statistic are studied. In a Monte Carlo study we further analyze the finite sample properties of the procedure. An application to inflation rates shows the potential of our procedure for future research.

Suggested Citation

  • Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302196
    DOI: 10.1016/j.econlet.2020.109338
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    References listed on IDEAS

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    More about this item

    Keywords

    Long memory; Changing persistence; Structural break;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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