Testing for structural change in regression with long memory processes

Stepana Lazarova

No 501, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic validity of bootstrap is shown and performance of the testing procedure is examined in a simple Monte Carlo experiment.

Keywords: Structural change; long memory; bootstrap (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:501

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