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Testing for structural change in regression with long memory processes

Author

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  • 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.

Suggested Citation

  • Stepana Lazarova, 2004. "Testing for structural change in regression with long memory processes," Econometric Society 2004 North American Winter Meetings 501, Econometric Society.
  • Handle: RePEc:ecm:nawm04:501
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    File URL: http://repec.org/esNAWM04/up.29093.1049208655.pdf
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    Cited by:

    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.
    2. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

    More about this item

    Keywords

    Structural change; long memory; bootstrap;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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