Add to ORKGLong-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
Several studies have found that occasional-break processes may produce realizations with slowly deca...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long range dependence and regime switching are very intimely related effects. In this paper we consi...
Long range dependence and regime switching are very intimely related effects. In this paper we revie...
In the last decade lot of interest, both in the econometric and statistical literature, has been pai...
Recent research has found that processes with occasional structural breaks could be hardly distingui...
Several studies have found that occasional-break processes may produce realizations with slowly deca...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long range dependence and regime switching are very intimely related effects. In this paper we consi...
Long range dependence and regime switching are very intimely related effects. In this paper we revie...
In the last decade lot of interest, both in the econometric and statistical literature, has been pai...
Recent research has found that processes with occasional structural breaks could be hardly distingui...
Several studies have found that occasional-break processes may produce realizations with slowly deca...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...