Testing Structural Change in Time-Series Nonparametric Regression Models

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
Subjects:
CUSUM test
Structural change
Nonparametric regression
Strong mixing processes
Functional central limit theorem
Econometrics
Economics
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
Description
Summary: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 limiting distributions of the test under both the null hypothesis and sequences of local alternatives. A boot-strap procedure is also proposed and its validity is justified. Finally, simulation experiments are conducted to investigate the finite sample properties of our test.

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