Arbeitspapier
Origins of spurious long memory
We consider a large class of structural change processes that generate spurious long memory. Among others, this class encompasses structural breaks as well as random level shift processes and smooth trends. The properties of these processes are studied based on a simple representation of their discrete Fourier transform. We find, that under very general conditions all of the models nested in this class generate poles in the periodogram at the zero frequency. These are of order O(T), instead of the usual O(T2d) for long memory processes and O(T2) for a random walk. This order arises whenever both the mean changes and sample fractions at which they occur are non-degenerate, asymptotically
- Sprache
-
Englisch
- Erschienen in
-
Series: Hannover Economic Papers (HEP) ; No. 595
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Long Memory
Spurious Long Memory
Structural Change
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Leschinski, Christian
Sibbertsen, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Leschinski, Christian
- Sibbertsen, Philipp
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2017
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