Testing for structural change in the presence of long memory

Research, Preprint, Report English OPEN
Krämer, Walter; Sibbertsen, Philipp;
  • Publisher: Dortmund: Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
  • Subject: Strukturbruch | Statistischer Test | info:eu-repo/classification/ddc/310 | Theorie | Zeitreihenanalyse
    • ddc: ddc:330

We derive the limiting null distributions of the standard and OLS-based CUSUM-tests for 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... View more
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