Testing for a Structural Break at Unknown Date with Long‐memory Disturbances
Abstract
We derive the null limiting distributions of the usual sup‐Wald and CUSUM tests for structural stability with an unknown potential break date in a polynomial regressi on model where the errors are I(d), −0.5 < d < 0.5. For d > 0, both tests diverge under the null so that the asymptotic size of either test is unity. For d< 0, both tests converge to zero under the null so that the asymptotic size of either test is zero
Citing Literature
Number of times cited according to CrossRef: 28
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