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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
2000_19.pdf | DNB | 167.85 kB | Adobe PDF | View/Open |
tr19-00.ps | 378.88 kB | Postscript | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org