Detecting structural changes under nonstationary volatility

DOI10.1016/j.econlet.2016.07.039zbMath1396.62281OpenAlexW2508139942MaRDI QIDQ1668529

Jilin Wu

Publication date: 29 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.07.039

zbMATH Keywords

wild bootstrapstructural changesnonstationary volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10)

Related Items (2)

Testing for structural changes in linear regressions with time-varying variance ⋮ Consistent nonparametric change point detection combining CUSUM and marked empirical processes

Cites Work

• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
• Least squares estimation and tests of breaks in mean and variance under misspecification
• The Cusum Test with Ols Residuals
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY
• Testing for structural change under non‐stationary variances
• Non‐parametric detection and estimation of structural change

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