Kramer, Walter; Sibbertsen, Philipp - In: International Journal of Business and Economics 1 (2002) 3, pp. 235-242
We derive the limiting null distributions of the standard and OLS-based CUSUM- tests for a structural change of the coefficients 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...