TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS

DOI10.1017/S0266466614000565zbMath1441.62898OpenAlexW2056937284MaRDI QIDQ3450348

Michael Vogt

Publication date: 3 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000565

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)

Related Items

Nonparametric fixed effects model for panel data with locally stationary regressors, Oracally efficient estimation and testing for an ARCH model with trend, Estimation and model identification of longitudinal data time-varying nonparametric models, Consistent nonparametric change point detection combining CUSUM and marked empirical processes, Statistical inference of locally stationary functional coefficient models, Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form, A bootstrap functional central limit theorem for time-varying linear processes, ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH, A model-free consistent test for structural change in regression possibly with endogeneity

Cites Work

• Unnamed Item
• Measuring volatility with the realized range
• Estimation of semiparametric locally stationary diffusion models
• Testing temporal constancy of the spectral structure of a time series
• Testing structural change in time-series nonparametric regression models
• Bootstrap tests for simple structures in nonparametric time series regression
• Inference of time-varying regression models
• Nonparametric regression for locally stationary time series
• Basic properties of strong mixing conditions. A survey and some open questions
• Multiscale local change point detection with applications to value-at-risk
• A central limit theorem for generalized quadratic forms
• Change-points in nonparametric regression analysis
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Consistent model specification tests for time series econometric models
• A simple consistent bootstrap test for a parametric regression function
• Kernel-type estimators of jump points and values of a regression function
• Comparing nonparametric versus parametric regression fits
• The jackknife and the bootstrap for general stationary observations
• Statistical inference for time-inhomogeneous volatility models.
• Nonparametric inference on structural breaks
• Statistical inference for time-varying ARCH processes
• Bandwidth selection for smooth backfitting in additive models
• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
• TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
• Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes
• A Measure of Stationarity in Locally Stationary Processes With Applications to Testing
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Validating Stationarity Assumptions in Time Series Analysis by Rolling Local Periodograms
• Localized Realized Volatility Modeling
• Modeling and Forecasting Realized Volatility