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?)
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• Modeling and testing smooth structural changes with endogenous regressors
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• Nonparametric Estimation of Triangular Simultaneous Equations Models
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• Nonparametric instrumental regression
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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
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• Theoretical comparisons of block bootstrap methods
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Cited in

(9)

• Annals issue in honor of Jerry A. Hausman. Editors' introduction
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• Modeling and testing smooth structural changes with endogenous regressors
• 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
• Structural change estimation in time series regressions with endogenous variables
• Testing for strict stationarity via the discrete Fourier transform
• An Adaptive Kernel-Based Structural Change Test for Copulas

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