Breaks or long memory behaviour: an empirical investigation

Lanouar Charfeddine () and Dominique Guegan ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Are structural breaks models true switching models or long memory processes ? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that switching models and long memory processes can be easily confused. In this paper, using several generating models like the mean-plus-noise model, the STOchastic Permanent BREAK model, the Markov switching model, the TAR model, the sign model and the Structural CHange model (SCH) and several estimation techiques like the GPH technique, the Exact Local Whittle (ELW) and the Wavelet methods, we show that, if the answer is quite simple in some cases, it can be mitigate in other cases. Using French and American inflation rates, we show that these series cannot be characterized by the same class of models. The main result of this study suggests that estimating the long memory parameter without taking account existence of breaks in the data sets may lead to misspecification and to overestimate the true parameter.

Keywords: inflation series; Structural breaks models; spurious long memory behavior; inflation series.; Modèles avec ruptures; spurious longue mémoire; inflation. (search for similar items in EconPapers)
Date: 2012-07-31
New Economics Papers: this item is included in nep-ets
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00722032v1
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behavior: An empirical investigation (2012)
Working Paper: Breaks or long memory behaviour: an empirical investigation (2012)
Working Paper: Breaks or Long Memory Behaviour: An empirical Investigation (2009)
Working Paper: Breaks or long memory behaviour: An empirical investigation (2009)
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