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Testing for structural change in regression with long memory processes

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Author Info
Stepana Lazarova
Abstract

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic validity of bootstrap is shown and performance of the testing procedure is examined in a simple Monte Carlo experiment.

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File URL: http://repec.org/esNAWM04/up.29093.1049208655.pdf
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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 501.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nawm04:501

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Related research
Keywords: Structural change; long memory; bootstrap;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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Cited by:
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  1. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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