Authors: Sibbertsen, Philipp
Title: Robust CUSUM-M test in the presence of long-memory disturbances
Language (ISO): en
Abstract: We derive the limiting null distribution of the robust CUSUM-M test and the recursive CUSUM-M test for structural change of the coefficients of a linear regression model with long-memory disturbances. It turns out that the asymptotic null distribution of the CUSUM-M statistic is a fractional Brownian Bridge and the asymptotic null distribution of the recursive CUSUM-M statistic is fractional Brownian motion.
Subject Headings: CUSUM test
long range dependence
robust regression
URI: http://hdl.handle.net/2003/5024
http://dx.doi.org/10.17877/DE290R-5525
Issue Date: 2000
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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