It is now recognised that long memory and structural change can be confused because the statistical properties of times series of lengths typical of financial and econometric series are similar for both models. We propose a new set of methods aimed at distinguishing between long memory and...

It is now recognized that long memory and structural change can be confused because the statistical properties of times series of lengths typical of many nancial and economic series are similar for both mod- els. We propose a new test aimed at distinguishing between unifractal long memory and...