A model-free consistent test for structural change in regression possibly with endogeneity

DOI10.1016/J.JECONOM.2018.12.014MaRDI QIDQ2000860zbMATH OpenOpenAlexWikidataFDO

Authors Zhonghao Fu, Yongmiao Hong

Publication date 1 July 2019

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.12.014

zbMATH Keywords

endogeneityFourier transformlocal stationaritylong-run variancemodel-free teststructural change

Mathematics Subject Classification ID

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

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Cites work

• A consistent characteristic function-based test for conditional independence
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
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• Applied nonparametric instrumental variables estimation
• Automatic Block-Length Selection for the Dependent Bootstrap
• Consistent model specification tests
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and Testing Structural Changes in Multivariate Regressions
• Forecasting economic time series using targeted predictors
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Inference in Nonlinear Econometric Models with Structural Change
• Inference of time-varying regression models
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• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Linearity testing using local polynomial approximation
• Measuring and testing dependence by correlation of distances
• Modeling and testing smooth structural changes with endogenous regressors
• Modelling Nonlinear Economic Time Series
• Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
• Nonparametric Estimation of Triangular Simultaneous Equations Models
• Nonparametric instrumental regression
• Nonparametric methods for inference in the presence of instrumental variables
• Non‐parametric detection and estimation of structural change
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• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
• Specification Tests in Econometrics
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• Testing for smooth structural changes in time series models via nonparametric regression
• Testing for structural change in time-varying nonparametric regression models
• Testing instability in a predictive regression model with nonstationary regressors
• Testing strict stationarity with applications to macroeconomic time series
• Testing structural change in partially linear models
• Testing structural change in time-series nonparametric regression models
• Testing the constancy of regression parameters against continuous structural change
• Tests for Parameter Instability and Structural Change With Unknown Change Point
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• Theoretical comparisons of block bootstrap methods
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(10)

• Annals issue in honor of Jerry A. Hausman. Editors' introduction
• Modeling and testing smooth structural changes with endogenous regressors
• Structural change estimation in time series regressions with endogenous variables
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Specification tests for time-varying coefficient models
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• Multi-Threshold Structural Equation Model
• Testing for strict stationarity via the discrete Fourier transform
• An Adaptive Kernel-Based Structural Change Test for Copulas
• An Adaptive Residual-Based Test for Factor Structure

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