Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study

DOI10.1007/s10260-008-0112-xzbMath1333.62009OpenAlexW2032795855MaRDI QIDQ257526

Luisa Bisaglia, Margherita Gerolimetto

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-008-0112-x

zbMATH Keywords

long memoryBox-Pierce testoccasional structural breaks

Mathematics Subject Classification ID

Related Items (1)

True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison

Uses Software

• R
• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Log-periodogram regression of time series with long range dependence
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Long memory or structural changes: an empirical examination on inflation rates
• On discriminating between long-range dependence and changes in mean
• The likelihood function of stationary autoregressive-moving average models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Estimating and Testing Linear Models with Multiple Structural Changes
• Testing for long memory in the presence of a general trend
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Long memory and regime switching

This page was built for publication: Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study