Non‐parametric detection and estimation of structural change
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Publication:5093192
DOI10.1111/J.1368-423X.2012.00378.XMaRDI QIDQ5093192
Publication date: 26 July 2022
Published in: The Econometrics Journal (Search for Journal in Brave)
estimationtestingstructural changetime varyingnon-parametricgeneralized likelihood ratiotime series regressionlocally stationary
Related Items (11)
Nonparametric testing for smooth structural changes in panel data models ⋮ Testing for structural changes in linear regressions with time-varying variance ⋮ Detecting structural changes under nonstationary volatility ⋮ Consistent nonparametric change point detection combining CUSUM and marked empirical processes ⋮ Time-varying forecast combination for high-dimensional data ⋮ Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ Estimating change points in nonparametric time series regression models ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ A model-free consistent test for structural change in regression possibly with endogeneity ⋮ Modeling and testing smooth structural changes with endogenous regressors
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