Testing for a Structural Break at Unknown Date with Long‐memory Disturbances

Jonathan Wright

Journal of Time Series Analysis, 1998, vol. 19, issue 3, 369-376

Abstract: We derive the null limiting distributions of the usual sup‐Wald and CUSUM tests for structural stability with an unknown potential break date in a polynomial regressi on model where the errors are I(d), −0.5 0, both tests diverge under the null so that the asymptotic size of either test is unity. For d

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00097

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:3:p:369-376

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().