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

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.

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Year of publication:	2000
Authors:	Sibbertsen, Philipp
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	CUSUM test \| robust regression \| long range dependence

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Series:	Technical Report ; 2000,19
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	766172147 [GVK] hdl:10419/77217 [Handle] RePEc:zbw:sfb475:200019 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316560