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

DOI10.1016/J.JECONOM.2018.12.014zbMATH Open1452.62907OpenAlexW2905341215WikidataQ128747582 ScholiaQ128747582MaRDI QIDQ2000860FDOQ2000860

Yongmiao Hong, Zhonghao Fu

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

Fourier transformendogeneitylocal stationaritystructural changelong-run variancemodel-free test

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)

Cites Work

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• Title not available (Why is that?)
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Cited In (6)

• Annals issue in honor of Jerry A. Hausman. Editors' introduction
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• Specification tests for time-varying coefficient models
• Multi-Threshold Structural Equation Model
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Testing for strict stationarity via the discrete Fourier transform

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