  We present a robust test for change-points in time series which is based on
the two-sample Hodges-Lehmann estimator. We develop new limit theory for a
class of statistics based on the two-sample U-quantile processes, in the case
of short range dependent observations. Using this theory we can derive the
asymptotic distribution of our test statistic under the null hypothesis. We
study the finite sample properties of our test via a simulation study and
compare the test with the classical CUSUM test and a test based on the
Wilcoxon-Mann-Whitney statistic.
