Testing Structural Change in Time-Series Nonparametric Regression Models

• 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
• Institution: Singapore Management University

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.