Nonparametric simultaneous testing for structural breaks

DOI10.1016/j.jeconom.2007.08.009zbMath1418.62157MaRDI QIDQ291109

Sébastien Van Bellegem, Irène Gijbels, J. T. Gao

Publication date: 6 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.009

zbMATH Keywords

time series analysis; threshold model; structural break; nonparametric testing; conditional mean and variance function

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

Related Items

Discontinuities in robust nonparametric regression with α-mixing dependence, A joint test for parametric specification and independence in nonlinear regression models, Testing for jumps in the presence of smooth changes in trends of nonstationary time series, Nonparametric simultaneous testing for structural breaks, Regression discontinuity designs with unknown discontinuity points: testing and estimation, Smoothing and preservation of irregularities using local linear fitting., Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators, Changepoint detection by the quantile Lasso method, Unstable volatility: the break-preserving local linear estimator

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