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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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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 Kun-Huang Huarng (Editor-in-Chief), Domingo Ribeiro Soriano (Associate Editor), Feng-Jyh Lin (Associate Editor) and Fang-Yi Lo (Managing Editor)

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Handle: RePEc:ijb:journl:v:1:y:2002:i:3:p:235-242