Testing for Structural Changes in the Presence of Long Memory

We derive the limiting null distributions of the standard and OLS-based CUSUM- tests for a structural change of the coefficients 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.

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Year of publication:	2002
Authors:	Kramer, Walter ; Sibbertsen, Philipp
Published in:	International Journal of Business and Economics. - College of Business, ISSN 1607-0704. - Vol. 1.2002, 3, p. 235-242
Publisher:	College of Business
Subject:	long memory \| structural change \| CUSUM- tests

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010837283