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...

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

Trends in time series data estimated with OLS linear regression may be tested with a robust procedure that is less sensitive to influential observations and violations of regression assumptions. The test consists of comparing the average age of data tritiles. If the higher tritiles are newer a...

This paper provides a simple approach for robust testing for the trend function in the time series under uncertainty over the order of integration of the error term. The proposed approach relies on the asymptotic normality of the trend coefficient estimator and utilises t-statistic approach of...

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of correlogram and cumulative Ljung-Box tests...