Publication Type
Journal Article
Version
publishedVersion
Publication Date
3-2008
Abstract
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.
Keywords
CUSUM test, Structural change, Nonparametric regression, Strong mixing processes, Functional central limit theorem
Discipline
Econometrics | Economics
Research Areas
Econometrics
Publication
Statistics and Its Interface
Volume
1
Issue
2
First Page
347
Last Page
366
ISSN
1938-7989
Publisher
International Press
Citation
SU, Liangjun and XIAO, Zhijie.
Testing Structural Change in Time-Series Nonparametric Regression Models. (2008). Statistics and Its Interface. 1, (2), 347-366.
Available at: https://ink.library.smu.edu.sg/soe_research/542
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://www.intlpress.com/site/pub/files/_fulltext/journals/sii/2008/0001/0002/SII-2008-0001-0002-a012.pdf