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Long memory versus structural breaks: An overview

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  • Philipp Sibbertsen

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 not. It can be seen that it is hard to distinguish deterministic trends from long-range dependence.
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  • Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
    • Handle: RePEc:spr:stpapr:v:45:y:2004:i:4:p:465-515
    DOI: 10.1007/BF02760564
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    1. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
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