Volume 1, No. 3, December 2002 Back Testing for Structural Changes in the Presence of Long Memory Walter Krämer and Philipp Sibbertsen Fachbereich Statistik, Universitat Dortmund, Germany 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. Key words: long memory; structural change; CUSUM- tests JEL classification: C12; C22; C52 Back