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.

MoreLess

Year of publication:	2000
Authors:	Krämer, Walter ; Sibbertsen, Philipp
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Zeitreihenanalyse \| Strukturbruch \| Statistischer Test \| Theorie

More details

Series:	Technical Report ; 2000,31
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	766152936 [GVK] hdl:10419/77279 [Handle] RePEc:zbw:sfb475:200031 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316622