Bisaglia, Luisa and Gerolimetto, Margherita (2005) Spurious effects in switching regime processes. [Working Paper] WORKING PAPER SERIES, 9/2005 . , PADOVA (Inedito)
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Long range dependence and regime switching are very intimely related effects. In this paper we consider the problem of spuriously detecting breaks point in hypothesis of long memory data generating processes. For this purpose we present some Monte Carlo evidence, together with a strategy to cope with the problem of distinguishing between long memory and regime swtching.
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