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

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)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Consistent model specification tests
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• Efficient Tests for General Persistent Time Variation in Regression Coefficients
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• Estimating and Testing Structural Changes in Multivariate Regressions
• Forecasting economic time series using targeted predictors
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• Inference in Nonlinear Econometric Models with Structural Change
• Inference of time-varying regression models
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Instrumental Variable Estimation of Nonparametric Models
• Limiting behavior of U-statistics for stationary, absolutely regular processes
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• Measuring and testing dependence by correlation of distances
• Modeling and testing smooth structural changes with endogenous regressors
• Modelling Nonlinear Economic Time Series
• Nonparametric Estimation of Triangular Simultaneous Equations Models
• Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
• Nonparametric instrumental regression
• Nonparametric methods for inference in the presence of instrumental variables
• Non‐parametric detection and estimation of structural change
• On the Kullback-Leibler information divergence of locally stationary processes
• 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
• Specification, estimation, and evaluation of smooth transition autoregressive models
• 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
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• Testing structural change in time-series nonparametric regression models
• Testing the constancy of regression parameters against continuous structural change
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• Theoretical comparisons of block bootstrap methods
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(8)

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

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