|Title:||Testing for structural change in the presence of long memory|
|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.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
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