Authors: Krämer, Walter
Sibbertsen, Philipp
Title: Testing for structural change in the presence of long memory
Language (ISO): en
Abstract: We derive the limiting null distributions of the standard and OLS-based CUSUM-tests for 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.
URI: http://hdl.handle.net/2003/5036
http://dx.doi.org/10.17877/DE290R-15130
Issue Date: 2000
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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