{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,4]],"date-time":"2026-10-04T23:15:30Z","timestamp":1791155730290,"version":"4.1.0"},"reference-count":52,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2013,10,16]],"date-time":"2013-10-16T00:00:00Z","timestamp":1381881600000},"content-version":"unspecified","delay-in-days":15,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2013,10]]},"abstract":"<jats:p>This article deals with detection of a nonconstant long memory parameter in time series. The null hypothesis presumes stationary or nonstationary time series with a constant long memory parameter, typically an <jats:italic>I<\/jats:italic> (<jats:italic>d<\/jats:italic>) series with <jats:italic>d<\/jats:italic> &gt; \u2212.5 . The alternative corresponds to an increase in persistence and includes in particular an abrupt or gradual change from <jats:italic>I<\/jats:italic> (<jats:italic>d<\/jats:italic><jats:sub>1<\/jats:sub>) to <jats:italic>I<\/jats:italic> (<jats:italic>d<\/jats:italic><jats:sub>2<\/jats:sub>), \u2212.5 &lt; <jats:italic>d<\/jats:italic><jats:sub>1<\/jats:sub> &lt; <jats:italic>d<\/jats:italic><jats:sub>2<\/jats:sub>. We discuss several test statistics based on the ratio of forward and backward sample variances of the partial sums. The consistency of the tests is proved under a very general setting. We also study the behavior of these test statistics for some models with a changing memory parameter. A simulation study shows that our testing procedures have good finite sample properties and turn out to be more powerful than the KPSS-based tests (see Kwiatkowski, Phillips, Schmidt and Shin, 1992) considered in some previous works.<\/jats:p>","DOI":"10.1017\/s0266466613000303","type":"journal-article","created":{"date-parts":[[2013,10,16]],"date-time":"2013-10-16T13:50:50Z","timestamp":1381931450000},"page":"1009-1056","source":"Crossref","is-referenced-by-count":12,"title":["DETECTION OF NONCONSTANT LONG MEMORY PARAMETER"],"prefix":"10.1017","volume":"29","author":[{"given":"Fr\u00e9d\u00e9ric","family":"Lavancier","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Remigijus","family":"Leipus","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Anne","family":"Philippe","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Donatas","family":"Surgailis","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2013,10,16]]},"reference":[{"key":"S0266466613000303_ref5","volume-title":"Convergence of Probability Measures","author":"Billingsley","year":"1968"},{"key":"S0266466613000303_ref3","first-page":"557","article-title":"Semi-parametric estimation of the long-range dependence parameter: A survey","author":"Bardet","year":"2003","journal-title":"Theory and Applications of Long-Range Dependence"},{"key":"S0266466613000303_ref18","unstructured":"Hassler, U. & Meller, B. 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