Nonparametric simultaneous testing for structural breaks

DOI10.1016/j.jeconom.2007.08.009zbMath1418.62157OpenAlexW1985626016MaRDI QIDQ291109

Sébastien Van Bellegem, Irène Gijbels, J. T. Gao

Publication date: 6 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.009

zbMATH Keywords

time series analysisthreshold modelstructural breaknonparametric testingconditional mean and variance function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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Nonparametric simultaneous testing for structural breaks, Smoothing and preservation of irregularities using local linear fitting., Regression discontinuity designs with unknown discontinuity points: testing and estimation, Changepoint detection by the quantile Lasso method, Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators, A joint test for parametric specification and independence in nonlinear regression models, Discontinuities in robust nonparametric regression with α-mixing dependence, Unstable volatility: the break-preserving local linear estimator, Testing for jumps in the presence of smooth changes in trends of nonstationary time series

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