Occasional Structural Breaks and Long Memory

Clive W.J. Granger and Namwon Hyung

UCSD Economics Discussion Paper 99-14
June 1999

Abstract

This paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the series rather than an I(d) process.


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