Testing for structural change in the presence of long memory

dc.contributor.author	Krämer, Walter	de
dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:42:39Z
dc.date.available	2004-12-06T18:42:39Z
dc.date.issued	2000	de
dc.description.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.	en
dc.format.extent	163736 bytes
dc.format.extent	405589 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/5036
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15130
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject.ddc	310	de
dc.title	Testing for structural change in the presence of long memory	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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