Memory and infrequent breaks

Christian Gourieroux; Joann Jasiak

doi:10.1016/S0165-1765(00)00346-3

Memory and infrequent breaks

Christian Gourieroux
, Joann Jasiak

Research output: Contribution to journal › Article › peer-review

Abstract

We study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function. In such a case, the use of a strong fractional I(d) model for economic or financial analysis may lead to spurious results.

Original language	English
Pages (from-to)	29-41
Number of pages	13
Journal	Economics Letters
Volume	70
Issue number	1
DOIs	https://doi.org/10.1016/S0165-1765(00)00346-3
Publication status	Published - 1 Jan 2001
Externally published	Yes

Keywords

C22
Heavy tail
Long memory
Switching regime

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10.1016/S0165-1765(00)00346-3

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title = "Memory and infrequent breaks",

abstract = "We study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function. In such a case, the use of a strong fractional I(d) model for economic or financial analysis may lead to spurious results.",

keywords = "C22, Heavy tail, Long memory, Switching regime",

author = "Christian Gourieroux and Joann Jasiak",

year = "2001",

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AU - Jasiak, Joann

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AB - We study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function. In such a case, the use of a strong fractional I(d) model for economic or financial analysis may lead to spurious results.

KW - C22

KW - Heavy tail

KW - Long memory

KW - Switching regime

UR - https://www.scopus.com/pages/publications/0035545521

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DO - 10.1016/S0165-1765(00)00346-3

M3 - Article

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SN - 0165-1765

VL - 70

SP - 29

EP - 41

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Memory and infrequent breaks

Abstract

Keywords

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