Testing structural breaks vs. long memory with the Box-Pierce statistics: a Monte Carlo study.

Several studies have found that occasional-break processes may produce realizations with slowly decaying autocorrelations, which is hardly distinguished from the long memory phenomenon. In this paper we suggest the use of the Box-Pierce statistics to discriminate long memory and occasional-break processes. We conduct an extensive Monte Carlo experiment to examine the finite sample properties of the Box-Pierce and other simple tests statistics in this framework. The results allow us to infer important guidelines for applied statistics in practice.