EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42) Track citations by RSS feed

Downloads: (external link)
http://www.ijbe.org/table%20of%20content/pdf/vol1-3/05.pdf (application/pdf)
http://www.ijbe.org/table%20of%20content/abstract/Vol.1/No.3/05.htm (text/html)

Related works:
Working Paper: Testing for structural change in the presence of long memory (2000) Downloads
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:ijb:journl:v:1:y:2002:i:3:p:235-242

Access Statistics for this article

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)

More articles in International Journal of Business and Economics from School of Management Development, Feng Chia University, Taichung, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Chia-Hung Wang ().

 
Page updated 2019-08-10
Handle: RePEc:ijb:journl:v:1:y:2002:i:3:p:235-242