Sibbertsen, Philipp2004-12-062004-12-062000http://hdl.handle.net/2003/502410.17877/DE290R-5525We 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.enUniversitätsbibliothek DortmundCUSUM testlong range dependencerobust regression310report