Testing for structural change in the presence of long memory

Walter Krämer and Philipp Sibbertsen

No 2000,31, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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

Date: 2000
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Related works:
Journal Article: Testing for Structural Changes in the Presence of Long Memory (2002)
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