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

DOI10.1007/S10260-008-0112-XMaRDI QIDQ257526zbMATH OpenOpenAlexFDO

Authors Luisa Bisaglia, Margherita Gerolimetto

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-008-0112-x

zbMATH Keywords

long memoryBox-Pierce testoccasional structural breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Reliability and life testing (62N05) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Log-periodogram regression of time series with long range dependence
• Long memory and regime switching
• Long memory or structural changes: an empirical examination on inflation rates
• On discriminating between long-range dependence and changes in mean
• Testing for long memory in the presence of a general trend
• The likelihood function of stationary autoregressive-moving average models

Cited in

(3)

• True versus spurious long memory: some theoretical results and a Monte Carlo comparison
• Forecasting long memory time series when occasional breaks occur
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes

Describes a project that uses

Uses Software

• R
• longmemo

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