Can Markov switching model generate long memory?

DOI10.1016/j.econlet.2014.04.030zbMath1295.62085OpenAlexW2070330353MaRDI QIDQ741329

Vladas Pipiras, Changryong Baek, Natércia Fortuna

Publication date: 11 September 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://repositorio-aberto.up.pt/handle/10216/82994

zbMATH Keywords

long memoryMarkov switching modelchanges in mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (1)

Can Markov switching model generate long memory?

Uses Software

• longmemo

Cites Work

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