Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study |
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Authors: | Luisa Bisaglia Margherita Gerolimetto |
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Institution: | (1) Ecole Nationale de la Statistique et de l’Administration Economique Timbre, J120 (bureau E05), 92245 Malakoff Cedex, France;; |
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Abstract: | 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. |
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