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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書目詳細資料
Main Authors:	SU, Liangjun, XIAO, Zhijie
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2008
主題:	CUSUM test Structural change Nonparametric regression Strong mixing processes Functional central limit theorem Econometrics Economics
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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