Long range dependence and regime switching are very intimely related effects. In this paper we consider the problem of spuriously detecting breaks point in hypothesis of long memory data generating processes. For this purpose we present some Monte Carlo evidence, together with a strategy to cope with the problem of distinguishing between long memory and regime swtching.

Spurious effects in switching regime processes

Bisaglia, Luisa;Gerolimetto, Margherita
2005

Abstract

Long range dependence and regime switching are very intimely related effects. In this paper we consider the problem of spuriously detecting breaks point in hypothesis of long memory data generating processes. For this purpose we present some Monte Carlo evidence, together with a strategy to cope with the problem of distinguishing between long memory and regime swtching.
File in questo prodotto:
File Dimensione Formato  
2005_9.pdf

accesso aperto

Licenza: Non specificato
Dimensione 935.93 kB
Formato Adobe PDF
935.93 kB Adobe PDF Visualizza/Apri
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/11577/3442337
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact