Testing for Structural Changes in the Presence of Long Memory
作者： Philipp Sibbertsen , Walter Krämer , Fachbereich Statistik
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摘要: We derive the limiting null distributions of standard and OLS-based CUSUM- tests for a structural change coefficients linear regression model in context long-memory disturbances. show that both behave fundamentally different environment, as compared to short memory, long memory is easily mistaken when critical values are employed.
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