Can Markov switching model generate long memory?

被引：2
|
作者：
Baek, Changryong [1 ]
Fortuna, Natercia [2 ]
Pipiras, Vladas [3 ]
机构：
[1] Sungkyunkwan Univ, Seoul 110745, South Korea
[2] Univ Porto, CEF UP, P-4100 Oporto, Portugal
[3] Univ N Carolina, Chapel Hill, NC 27515 USA
来源：
ECONOMICS LETTERS | 2014年 / 124卷 / 01期
关键词：
Markov switching model; Long memory; Changes in mean; RANGE DEPENDENCE; LEVEL SHIFTS; PARAMETER;
D O I：
10.1016/j.econlet.2014.04.030
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in terms of the behavior of the second moments of partial sums. The relationship between the Markov switching model and long memory is reexamined here. Common estimators of the long memory parameter are found to be extremely biased when applied to the data generated by the Markov switching model. An explanation for these findings is provided. (C) 2014 Elsevier B.V. All rights reserved.
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页码：117 / 121
页数：5
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