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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Main Authors: | , |
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Format: | text |
Language: | English |
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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 |