Article ID Journal Published Year Pages File Type
5060405 Economics Letters 2012 5 Pages PDF
Abstract
► Log-periodogram estimation is considered under changing persistence. ► We find evidence for non-stationary long memory in this case. ► We suggest a tool for discrimination of long memory and changing persistence. ► A procedure based on the Ljung-Box test discriminates between d breaks and stable shifts.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Long memory and changing persistence
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