Publication Type
Journal Article
Version
acceptedVersion
Publication Date
12-2010
Abstract
We consider two tests of structural change for partially linear time-series models. The first tests for structural change in the parametric component, based on the cumulative sums of gradients from a single semiparametric regression. The second tests for structural change in the parametric and nonparametric components simultaneously, based on the cumulative sums of weighted residuals from the same semiparametric regression. We derive the limiting distributions of both tests under the null hypothesis of no structural change and for sequences of local alternatives. We show that the tests are generally not asymptotically pivotal under the null but may be free of nuisance parameters asymptotically under further asymptotic stationarity conditions. Our tests thus complement the conventional instability tests for parametric models. To improve the finite-sample performance of our tests, we also propose a wild bootstrap version of our tests and justify its validity. Finally, we conduct a small set of Monte Carlo simulations to investigate the finite-sample properties of the tests.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometric Theory
Volume
26
Issue
6
First Page
1761
Last Page
1806
ISSN
0266-4666
Identifier
10.1017/S0266466609990788
Publisher
Cambridge University Press
Citation
SU, Liangjun and WHITE, Halbert.
Testing Structural Change in Partially Linear Models. (2010). Econometric Theory. 26, (6), 1761-1806.
Available at: https://ink.library.smu.edu.sg/soe_research/252
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1017/S0266466609990788