Testing for Structural Changes in the Presence of Long Memory
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.
Volume (Year): 1 (2002)
Issue (Month): 3 (December)
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