A0788
Title: Distinguishing between breaks in the mean and breaks in persistence under long memory
Authors: Simon Wingert - University of Hannover (Germany)
Mwasi Mboya - Leibniz University Hannover (Germany) [presenting]
Philipp Sibbertsen - University of Hannover (Germany)
Abstract: A procedure to discriminate between stationarity, a break in the mean and a break in persistence in a time series that may exhibit long memory is introduced. The asymptotic properties of test statistics based on the CUSUM statistic are studied. In a Monte Carlo study, we further analyze the finite sample properties of the procedure. An application to inflation rates shows the potential of our procedure for future research.
