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dc.contributor.authorSibbertsen, Philippen_US
dc.contributor.authorKruse, Robinsonen_US
dc.description.abstractWe show that tests for a break in the persistence of a time series in the classical I(0) - I(1) framework have serious size distortions when the actual data generating process exhibits long-range dependencies. We prove that the limiting distribution of a CUSUM of squares based test depends on the true memory parameter if the DGP exhibits long memory. We propose adjusted critical values for the test and give finite sample response curves which allow the practitioner to easily implement the test and to compute the relevant critical values. We furthermore prove consistency of the test and prove consistency for a simple break point estimator also under long memory. We show that the test has satisfying power properties when the correct critical values are used.en_US
dc.publisherFachbereich Wirtschaftswiss., Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion papers // School of Economics and Management of the Hanover Leibniz University 381en_US
dc.subject.keywordbreak in pesistenceen_US
dc.subject.keywordlong memoryen_US
dc.subject.keywordCUSUM of squares based testen_US
dc.subject.stwStatistischer Testen_US
dc.titleTesting for a break in persistence under long-range dependenciesen_US
dc.typeWorking Paperen_US
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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