True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison

DOI10.1080/07474938.2013.808462zbMath1491.62160OpenAlexW2039462993MaRDI QIDQ5080517

Arturo Leccadito, Omar Rachedi, Giovanni Urga

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6975/1/Leccadito%20%26%20Rachedi%20%26%20Urga%20%282014%2C%20manuscript%20accepted%29.pdf

zbMATH Keywords

regime switchingfractional integrationstructural break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

A modified test against spurious long memory ⋮ A multivariate test against spurious long memory

Cites Work

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