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Testing for Structural Changes in the Presence of Long Memory

Walter Krämer and Philipp Sibbertsen

International Journal of Business and Economics, 2002, vol. 1, issue 3, 235-242

Abstract: We derive the limiting null distributions of the standard and OLS-based CUSUM- tests for a 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.

Keywords: long memory; structural change; CUSUM- tests (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (43)

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Working Paper: Testing for structural change in the presence of long memory (2000) Downloads
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International Journal of Business and Economics is currently edited by Hsiang-Tsai Chiang (Editor-in-Chief), Chiung-Ju Huang (Editor-in-Chief), Feng-Jyh Lin (Associate Editor), Tzu-Ching Weng (Associate Editor), Hsin-Yi Huang (Managing Editor) and Szu-Hsien Ho (Managing Editor)

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