The phenomena of long range dependence and regime switching are intimely related and it is very difficult to separate the two effects. In this paper we consider the problem of inference on the order of integration in presence of infrequent structural breaks. For this purpose we consider the most important estimators of long memory parameters used in literature and compare their performances in finite samples via Monte Carlo experiments.
Switching regime and ARFIMA processes.
Bisaglia, Luisa;Gerolimetto, Margherita
2005
Abstract
The phenomena of long range dependence and regime switching are intimely related and it is very difficult to separate the two effects. In this paper we consider the problem of inference on the order of integration in presence of infrequent structural breaks. For this purpose we consider the most important estimators of long memory parameters used in literature and compare their performances in finite samples via Monte Carlo experiments.
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