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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Institutional Knowledge at Singapore Management University
2008
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| الوصول للمادة أونلاين: | 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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sg-smu-ink.soe_research-15412018-06-04T08:47:53Z Testing Structural Change in Time-Series Nonparametric Regression Models SU, Liangjun XIAO, Zhijie 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. 2008-03-01T08:00:00Z text application/pdf 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 http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University CUSUM test Structural change Nonparametric regression Strong mixing processes Functional central limit theorem Econometrics Economics |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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SMU Libraries |
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InK@SMU |
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English |
| topic |
CUSUM test Structural change Nonparametric regression Strong mixing processes Functional central limit theorem Econometrics Economics |
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CUSUM test Structural change Nonparametric regression Strong mixing processes Functional central limit theorem Econometrics Economics SU, Liangjun XIAO, Zhijie Testing Structural Change in Time-Series Nonparametric Regression Models |
| description |
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. |
| format |
text |
| author |
SU, Liangjun XIAO, Zhijie |
| author_facet |
SU, Liangjun XIAO, Zhijie |
| author_sort |
SU, Liangjun |
| title |
Testing Structural Change in Time-Series Nonparametric Regression Models |
| title_short |
Testing Structural Change in Time-Series Nonparametric Regression Models |
| title_full |
Testing Structural Change in Time-Series Nonparametric Regression Models |
| title_fullStr |
Testing Structural Change in Time-Series Nonparametric Regression Models |
| title_full_unstemmed |
Testing Structural Change in Time-Series Nonparametric Regression Models |
| title_sort |
testing structural change in time-series nonparametric regression models |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2008 |
| url |
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 |
| _version_ |
1770569208473583616 |