Robust CUSUM-M test in the presence of long-memory disturbances

by Philipp Sibbertsen

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.

MoreLess

Year of publication:	2000 ; Version March 2000
Authors:	Sibbertsen, Philipp
Publisher:	Dortmund : SFB 475, Universität Dortmund
Subject:	CUSUM test \| robust regression \| long range dependence \| Regressionsanalyse \| Regression analysis \| Robustes Verfahren \| Robust statistics \| Statistischer Test \| Statistical test \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Erscheint auch als (Druck-Ausgabe):

Sibbertsen, Philipp *19XX-*. Robust CUSUM-M test in the presence of long-memory disturbances. - Dortmund : Univ., SFB 475, 2000. - 12 S

Persistent link: https://www.econbiz.de/10009783551