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Sibbertsen, Philipp
Year of Publication: 
Series/Report no.: 
Technical Report 2000,19
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.
CUSUM test
robust regression
long range dependence
Document Type: 
Working Paper

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