Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77279 
Year of Publication: 
2000
Series/Report no.: 
Technical Report No. 2000,31
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
We derive the limiting null distributions of the standard and OLS based CUSUM-tests for structural change of the coecients 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.
Document Type: 
Working Paper

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