Long memory and changing persistence

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 114
Issue: 3
Pages: 268-272

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

Technical Details

RePEc Handle
repec:eee:ecolet:v:114:y:2012:i:3:p:268-272
Journal Field
General
Author Count
2
Added to Database
2026-01-25