Modeling and testing smooth structural changes with endogenous regressors

DOI10.1016/j.jeconom.2014.10.012zbMath1331.62458OpenAlexW2083917334MaRDI QIDQ2343771

Bin Chen

Publication date: 6 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.10.012

zbMATH Keywords

endogeneitykernelnonparametric regressionmodel stabilityinstrumental variableslocal linear estimationsmooth structural change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (12)

Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Time-varying forecast combination for high-dimensional data ⋮ Specification tests for time-varying coefficient models ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Multi-Threshold Structural Equation Model ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ The European growth synchronization through crises and structural changes ⋮ Time-varying instrumental variable estimation ⋮ A model-free consistent test for structural change in regression possibly with endogeneity ⋮ Time-varying model averaging ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ Boosting high dimensional predictive regressions with time varying parameters

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