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Testing for structural change in the presence of long memory

We derive the limiting null distributions of the standard and OLS based CUSUM-tests for structural change of the coecients of a linear regression model in the context of long memory disturbances. We show that both tests behave fundamentally different in a long memory environment, as compared to short memory, and that long memory is easily mistaken for structural change when standard critical values are employed.
Year of publication:
2000
Authors: Krämer, Walter ; Sibbertsen, Philipp
Institutions: Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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Type of publication: Book / Working Paper
Notes:
Number 2000,31
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Persistent link: https://www.econbiz.de/10010982314
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