Long memory and changing persistence

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英文文献：Long memory and changing persistence
英文文献作者：Robinson Kruse,Philipp Sibbertsen
英文文献摘要：
We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed test by Sibbertsen and Kruse (2009) is shown to exhibit noticeable power to discriminate between long memory and a structural change in autoregressive parameters.

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