Long memory versus structural breaks: An overview

被引：47

作者：

Sibbertsen, P ^{[1
]}

机构：

[1] Univ Dortmund, Fachbereich Stat, D-44221 Dortmund, Germany

来源：

STATISTICAL PAPERS | 2004年 / 45卷 / 04期

关键词：

long memory; structural breaks; trends;

D O I：

10.1007/BF02760564

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：465 / 515

页数：51

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