The major objective of this paper is to demonstrate, theoretically and empirically, the test of a single structural break/change. Failure to address a structural break can lead to forecasting errors and the general unreliability of a model. Three approaches of testing for structural change are...

We show that tests for a break in the persistence of a time series in the classical I(0) - I(1) framework have serious size distortions when the actual data generating process exhibits long-range dependencies. We prove that the limiting distribution of a CUSUM of squares based test depends on...