Can Markov switching model generate long memory?

DOI10.1016/J.ECONLET.2014.04.030MaRDI QIDQ741329zbMATH OpenOpenAlexFDO

Authors Changryong Baek, Natércia Fortuna, Vladas Pipiras

Publication date 11 September 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://repositorio-aberto.up.pt/handle/10216/82994

zbMATH Keywords

long memoryMarkov switching modelchanges in mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
• Can Markov switching model generate long memory?
• Gaussian semiparametric estimation of long range dependence
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• Local Whittle estimation of the memory parameter in presence of deterministic components
• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Long-memory processes. Probabilistic properties and statistical methods
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Shock tube experiments and numerical simulation of the single mode three-dimensional Richtmyer-Meshkov instability
• Statistical tests for a single change in mean against long-range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(4)

• The autocorrelation function behavior of regime switching models: an empirical approach
• Long memory and regime switching
• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Can Markov switching model generate long memory?

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Uses Software

• longmemo

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