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Krämer, Walter
Sibbertsen, Philipp
Year of Publication: 
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2000,31
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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