Iacone, Fabrizio orcid.org/0000-0002-2681-9036 and Lazarova, Stepana (2019) Semiparametric detection of changes in long range dependence. Journal of Time Series Analysis. 693–706. ISSN 1467-9892
Abstract
We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifying the data generating process we employ local Whittle estimates which uses only frequencies local to zero. The limit distribution of the test statistic under the null is not standard but it is well known in the literature. A Monte Carlo study shows that this inference procedure performs well in finite samples. We demonstrate the practical utility of these results with an empirical example, where we analyse the inflation rate in Germany for the period 1986–2017.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details. |
Keywords: | Long memory,break,local Whittle estimate,persistence |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 19 Dec 2018 17:00 |
Last Modified: | 08 Feb 2025 00:33 |
Published Version: | https://doi.org/10.1111/jtsa.12448 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1111/jtsa.12448 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:140249 |
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