Specification and structural break tests for additive models with applications to realized variance data

DOI10.1016/j.jeconom.2015.04.002zbMath1337.62092OpenAlexW2114899898MaRDI QIDQ2354863

Matthias R. Fengler, Enno Mammen, Michael Vogt

Publication date: 27 July 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.04.002

zbMATH Keywords

additive modelsspecification testsrealized variancebackfittingheterogeneous autoregressive modelnonparametric time series analysisstructural break tests

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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