Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27191
Authors: 
Sibbertsen, Philipp
Kruse, Robinson
Year of Publication: 
2007
Series/Report no.: 
Discussion papers // School of Economics and Management of the Hanover Leibniz University 381
Abstract: 
We 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.
Subjects: 
break in pesistence
long memory
CUSUM of squares based test
JEL: 
C12
C22
Document Type: 
Working Paper

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