@TechReport{dp-381,
author = {Sibbertsen, Philipp and Kruse, Robinson},
astring = {Philipp Sibbertsen and Robinson Kruse},
title = {Testing for a break in persistence under long-range
dependencies},
month = {November},
year = {2007},
pages = {23},
size = {134},
number = {381},
language = {en},
keywords = {break in pesistence, long memory, CUSUM of squares based
test},
jelclass = {C12, C22},
abstract = {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 the true memory parameter if the DGP exhibits
long memory. We propose adjusted critical values for the
test and give finite sample response curves which allow the
practitioner to easily implement the test and to compute
the relevant critical values. We furthermore prove
consistency of the test and prove consistency for a simple
break point estimator also under long memory. We show that
the test has satisfying power properties when the correct
critical values are used.}
}