Testing Structural Change in Time-Series Nonparametric Regression Models

We propose a CUSUM type of test for structural change in dynamic nonparametric regression models. It is based upon the cumulative sums of weighted residuals from a single nonparametric regression and complements the conventional parameter instability tests in parametric models. We derive the...

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Bibliographic Details
Main Authors: SU, Liangjun, XIAO, Zhijie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/soe_research/542
https://ink.library.smu.edu.sg/context/soe_research/article/1541/viewcontent/SII_2008_0001_0002_a012.pdf
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Institution: Singapore Management University
Language: English