Long memory versus structural breaks: An overview |
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Authors: | Sibbertsen Philipp |
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Institution: | 1.Fachbereich Statistik, Universit?t Dortmund, D-44221, Dortmund, Germany ; |
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Abstract: | We discuss the increasing literature on misspecifying structural breaks or more general trends as long-range dependence. We
consider tests on structural breaks in the long-memory regression model as well as the behaviour of estimators of the memory
parameter when structural breaks or trends are in the data but long memory is not. Methods for distinguishing both of these
phenomena are proposed.
The financial support of Volkswagenstiftung is gratefully acknowledged. |
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Keywords: | Long memory structural breaks trends |
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