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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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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