Level Shifts and the Illusion of Long Memory in Economic Time Series

By Aaron Smith. 2004

108 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5b30c76d04ed305af4de7a68b03efc91669866eb

How researchers see this paper

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In Economics and Econometrics

1. A. Ohanissian
2. Jeffrey R. Russell
3. Ruey S. Tsay
4. Zhou Zhou
5. Xiaofeng Shao
6. Zhongjun Qu
7. Roel C. A. Oomen
8. Andrew J. Patton

In Finance

1. A. Ohanissian
2. Jeffrey R. Russell
3. Ruey S. Tsay
4. Xiaofeng Shao
5. Zhongjun Qu
6. Roel C. A. Oomen
7. Andrew J. Patton
8. Maria Pacurar

Citations in the corpus

• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “The process {ut } is generated according to one of the following DGPs: (a) Random level shifts (RLS): ut = ∑tj=1 δT, j , δT,t = πT,tηt , where ηt ∼ i.i.d. ( 0,σ 2η ) with finite moments of all orders and πT,t ∼ i.i.d.Bernoulli(p/T,1) for some p ≥ 0.”
• True or Spurious Long Memory? A New Test (2008, background): “Smith (2005) extended this research by deriving (approximations to) the bias of long memory parameter estimators applied to spurious long memory models.”