1,720,977 research outputs found
Testing structural break versus long memory with the Box–Pierce statistics: a Monte Carlo study
No full textSeveral studies have found that occasional-break processes may produce realizations with slowly decaying autocorrelations,which is hardly distinguished from the long memory phenomenon. In this paper we suggest the use of the Box–Pierce statistics to discriminate long memory and occasional-break processes. We conduct an extensive Monte Carlo experiment to examine the finite sample properties of the Box–Pierce and other simple tests statistics in this framework. The results allow us to infer important guidelines for applied statistics in practice
Forecastic long memory time series when occasional break occur
No full textIn this paper, in order to investigate if a long memory model will provide good forecasts even if the real DGP is affected by level shifts (as suggested by Diebold, F.X., Inoue, A., 2001. Long memory and regime switching Journal of Econometrics, 105, 131–159) we compare via simulations the forecasting performance of long memory and occasional breaks processes
A new time-varying model for forecasting long-memory series
Full text linkIn this work we propose a new class of long-memory models with time-varying fractional parameter. In particular, the dynamics of the long-memory coefficient, d, is specified through a stochastic recurrence equation driven by the score of the predictive likelihood, as suggested by Creal et al. (J Appl Econom 28:777–795, 2013) and Harvey (Dynamic models for volatility and heavy tails: with applications to financial and economic time series, Cambridge University Press, Cambridge, 2013). We demonstrate the validity of the proposed model by a Monte Carlo experiment and an application to two real time series
On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap
No full textWe consider a new bootstrap approach to test for a unit root in fractionally integrated time series. We find that this test always improves the power of the Augmented Dickey-Fuller test. © 2002 Elsevier Science B.V. All rights reserved
Forecasting long memory time series when occasional break occur
No full textRecent research has found that processes with occasional structural breaks could be hardly distinguished from long memory ones because the memory properties may spuriously arise in model with level shifts.
In this paper, we investigate if a long memory model will provide
good forecasts even if the real DGP is affected by level shifts
(as suggested by Diebold and Inoue, 2001).
We compare via simulations the forecasting performance of long memory and occasional breaks processes
Long memory and regime switching models
No full textLong range dependence and regime switching are very intimely related effects. In this paper we review the link between long memory and structural break processes and the difficulties
when trying to distiinguish them. We also describe two procedures to separate the two models:
i) an empirical approach ii) a statistical test
An empirical strategy to detect spurious effects in long memory and occasional-break processes
No full textLong-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 occasionalbreak
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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