We consider a large class of structural change processes that generate spurious long memory. Among others, this class encompasses structural breaks as well as random level shift processes and smooth trends. The properties of these processes are studied based on a simple representation of their...

This paper considers estimation and testing of multiple breaks that occur at unknown dates in multivariate long-memory time series. We propose a likelihood ratio based approach for estimating breaks in the mean and the covariance of a system of long-memory time series. The limiting distribution...

Information criteria, nonlinearity, additive outliers, innovative outliers, change in persistence, outlier detection. - Informationskriterien, Nichtlinearität, additive Ausreißer, innovative Ausreißer, Persistenzbruch, Ausreißerermittlung

We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. The divergence rate is independent of the order of integration...