Long-range dependence and structural changes in level are intimely related phenomena and it is very difficult to separate the two effects. In this article, we present an empirical procedure to distinguish between long-memory and occasional-break processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.
An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
BISAGLIA, LUISA;GEROLIMETTO, MARGHERITA
2009
Abstract
Long-range dependence and structural changes in level are intimely related phenomena and it is very difficult to separate the two effects. In this article, we present an empirical procedure to distinguish between long-memory and occasional-break processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.
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