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dc.contributor.authorKrämer, Walterde
dc.contributor.authorSibbertsen, Philippde
dc.date.accessioned2004-12-06T18:42:39Z-
dc.date.available2004-12-06T18:42:39Z-
dc.date.issued2000de
dc.identifier.urihttp://hdl.handle.net/2003/5036-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15130-
dc.description.abstractWe 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.en
dc.format.extent163736 bytes-
dc.format.extent405589 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/postscript-
dc.language.isoende
dc.publisherUniversitätsbibliothek Dortmundde
dc.subject.ddc310de
dc.titleTesting for structural change in the presence of long memoryen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 475

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