Sibbertsen, Philipp; Kruse, Robinson - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2007
We show that tests for a break in the persistence of a time series in the classicalI(0) - I(1) framework have serious size distortions when the actual data generatingprocess exhibits long-range dependencies. We prove that the limiting distributionof a CUSUM of squares based test depends on the...