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Bisaglia, Luisa and Gerolimetto, Margherita (2007) Testing structural breaks vs. long memory with the Box-Pierce statistics: a Monte Carlo study. [Working Paper] WORKING PAPER SERIES, 12/2007 . , PADOVA (Inedito)

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Abstract (english)

Several studies have found that occasional-break processes may produce realizations with slowly decaying autocorrelations, which is hardly distinguished from the long memory phenomenon. In this paper we suggest the use of the Box-Pierce statistics to discriminate long memory and occasional-break processes. We conduct an extensive Monte Carlo experiment to examine the finite sample properties of the Box-Pierce and other simple tests statistics in this framework. The results allow us to infer important guidelines for applied statistics in practice.

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EPrint type:Working Paper
Anno di Pubblicazione:November 2007
Key Words:Long memory, occasional structural breaks, Box-Pierce test.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7104
Depositato il:11 Sep 2014 13:07
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