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
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	CUSUM test \| robust regression \| long range dependence

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2000,19
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010955402