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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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2000_31.pdf | DNB | 159.9 kB | Adobe PDF | View/Open |
tr31-00.ps | 396.08 kB | Postscript | View/Open |
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