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 occasional-break 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

BISAGLIA, LUISA;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 occasional-break processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/2376222
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 6
  • ???jsp.display-item.citation.isi??? 7
  • OpenAlex ND
social impact