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

DOI10.1016/j.jeconom.2018.12.014zbMath1452.62907OpenAlexW2905341215WikidataQ128747582 ScholiaQ128747582MaRDI QIDQ2000860

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

endogeneityFourier transformstructural changelocal stationaritylong-run variancemodel-free test

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 properties of nonparametric inference (62G20)

Related Items (5)

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 ⋮ Annals issue in honor of Jerry A. Hausman. Editors' introduction

Cites Work

• Unnamed Item
• Measuring and testing dependence by correlation of distances
• Consistent model specification tests
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Trending time-varying coefficient time series models with serially correlated errors
• A consistent characteristic function-based test for conditional independence
• Forecasting economic time series using targeted predictors
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Testing structural change in time-series nonparametric regression models
• Inference of time-varying regression models
• Nonparametric methods for inference in the presence of instrumental variables
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Linearity testing using local polynomial approximation
• Testing the constancy of regression parameters against continuous structural change
• Theoretical comparisons of block bootstrap methods
• On the Kullback-Leibler information divergence of locally stationary processes
• Modeling and testing smooth structural changes with endogenous regressors
• Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
• A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
• TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Applied Nonparametric Instrumental Variables Estimation
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS
• TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Specification Tests in Econometrics
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Automatic Block-Length Selection for the Dependent Bootstrap
• Estimating and Testing Linear Models with Multiple Structural Changes
• Nonparametric Estimation of Triangular Simultaneous Equations Models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
• Inference in Nonlinear Econometric Models with Structural Change
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Nonparametric Instrumental Regression
• Non‐parametric detection and estimation of structural change
• Modelling Nonlinear Economic Time Series
• Estimating and Testing Structural Changes in Multivariate Regressions
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Instrumental Variable Estimation of Nonparametric Models
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models

This page was built for publication: A model-free consistent test for structural change in regression possibly with endogeneity