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Long memory versus structural breaks: an overview. (English) Zbl 1055.62098

Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Software:

longmemo; TSM
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Full Text: DOI

References:

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