完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Walter Krämer | |
dc.contributor.author | Philipp Sibbertsen | |
dc.date.accessioned | 2020-08-25T06:09:31Z | - |
dc.date.available | 2020-08-25T06:09:31Z | - |
dc.date.issued | 2002/12/01 | |
dc.identifier.issn | issn16070704 | |
dc.identifier.uri | http://dspace.fcu.edu.tw/handle/2376/2191 | - |
dc.description.abstract | 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 compared to short memory, and that long memory is easily mistaken for structural change when standard critical values are employed. | |
dc.description.sponsorship | 逢甲大學 | |
dc.format.extent | 8 | |
dc.language.iso | 英文 | |
dc.relation.ispartofseries | international journal of business and economics | |
dc.relation.isversionof | Volume1No3 | |
dc.subject | long memory|structural change|CUSUM- tests | |
dc.title | Testing for Structural Changes in the Presence of Long Memory | |
dc.type | 期刊篇目 | |
分類: | Volume01,No.3 |
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