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Publication

Can Markov Switching Model Generate Long Memory?

Title
Can Markov Switching Model Generate Long Memory?
Type
Article in International Scientific Journal
Year
2014
Authors
Natércia Fortuna
(Author)
FEP
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Changryong Baek
(Author)
Other
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Vladas Pipiras
(Author)
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Journal
Title: Economics LettersImported from Authenticus Search for Journal Publications
Vol. 124 No. 1
Pages: 117-121
ISSN: 0165-1765
Publisher: Elsevier
Scientific classification
FOS: Social sciences
Other information
Authenticus ID: P-009-JTJ
Abstract (EN): 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.
Language: English
Type (Professor's evaluation): Scientific
License type: Click to view license CC BY-NC
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