Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77217
Authors: 
Sibbertsen, Philipp
Year of Publication: 
2000
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2000,19
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.
Subjects: 
CUSUM test
robust regression
long range dependence
Document Type: 
Working Paper

Files in This Item:
File
Size
378.88 kB
177.68 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.