Simple (but effective) tests of long memory versus structural breaks

By Katsumi Shimotsu. 2006

97 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bfc05427223247691e3735f5b2e8e02078b4ac61

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Mohamed Arouri
2. Duc Khuong Nguyen
3. Amine Lahiani
4. Shawkat Hammoudeh
5. Perry Sadorsky
6. Xiaofeng Shao
7. Stavros Degiannakis *
8. Zhongjun Qu

Citations in the corpus

• A Test Against Spurious Long Memory (2011, background): “I set k = 4, following the suggestion of Shimotsu (2006).”
• Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, methodology): “In this paper, we use the two tests proposed by Shimotsu (2006) to distinguish between long memory and structural breaks since these tests have the advantage to be the unique in-sample test of long memory against structural breaks, and they also present good power and size .”
• A simple test of changes in mean in the possible presence of long‐range dependence (2011, background): “Other recent related contributions can be found in Aue et al. (2009), Dolado et al. (2005), Mayoral (2010), Shimotsu (2006), Sibbertsen and Venetis (2004) and Giraitis et al. (2006), among others.”
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Econometric Theory, 29, 2013, 1196–1237. doi:10.1017/S0266466613000042”