Testing for structural change in regression with long memory processes

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic validity of bootstrap is shown and performance of the testing procedure is examined in a simple Monte Carlo experiment.

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Year of publication:	2004-08-11
Authors:	Lazarova, Stepana
Institutions:	Econometric Society
Subject:	Structural change \| long memory \| bootstrap

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Extent:	application/pdf
Series:	Econometric Society 2004 North American Winter Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society North American Winter Meetings 2004 Number 501
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005063603