Memory and infrequent breaks

Christian Gourieroux; Joann Jasiak

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

Memory and infrequent breaks

Christian Gourieroux
, Joann Jasiak

CEPREMAP Centre pour la Recherche Économique et ses Applications
York University

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	29-41
Nombre de pages	13
journal	Economics Letters
Volume	70
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/S0165-1765(00)00346-3
état	Publié - 1 janv. 2001
Modification externe	Oui

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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",

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KW - Long memory

KW - Switching regime

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

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JO - Economics Letters

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Memory and infrequent breaks

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