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TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS

Published online by Cambridge University Press:  27 October 2014

Michael Vogt
Michael Vogt*
Affiliation:
University of Konstanz
*
*Address correspondence to Michael Vogt, Department of Mathematics and Statistics, University of Konstanz, 78457 Konstanz, Germany; e-mail: michael.vogt@uni-konstanz.de.
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Abstract

In this paper, we consider a nonparametric model with a time-varying regression function and locally stationary regressors. We are interested in the question whether the regression function has the same shape over a given time span. To tackle this testing problem, we propose a kernel-based L2-test statistic. We derive the asymptotic distribution of the statistic both under the null and under fixed and local alternatives. To improve the small sample behavior of the test, we set up a wild bootstrap procedure and derive the asymptotic properties thereof. The theoretical analysis of the paper is complemented by a simulation study and a real data example.

Type
ARTICLES
Information
Econometric Theory , Volume 31 , Issue 4 , August 2015 , pp. 811 - 859
Copyright
Copyright © Cambridge University Press 2014 

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Footnotes

I would like to thank Oliver Linton and Enno Mammen for numerous helpful discussions and comments. Financial support by the ERC is gratefully acknowledged.

References

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