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...