By the same authors

From the same journal

From the same journal

Semiparametric detection of changes in long range dependence

Research output: Contribution to journalArticle

Published copy (DOI)

Author(s)

Department/unit(s)

Publication details

JournalJournal of Time Series Analysis
DateAccepted/In press - 26 Nov 2018
DateE-pub ahead of print (current) - 5 Feb 2019
Number of pages14
Early online date5/02/19
Original languageEnglish

Abstract

We consider changes in the degree of persistence of a process when the degree
of persistence is characterized as the order of integration of a strongly dependent
process. To avoid the risk of incorrectly specifying the data generating process
we employ local Whittle estimates which uses only frequencies local to zero. The
limit distribution of the test statistic under the null is not standard but it is well
known in the literature. A Monte Carlo study shows that this inference procedure
performs well in finite samples. We demonstrate the practical utility of these
results with an empirical example, where we analyse the inflation rate in Germany
for the period 1986–2017.

Bibliographical note

© 2019 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.

Discover related content

Find related publications, people, projects, datasets and more using interactive charts.

View graph of relations