Testing for structural change in time-varying nonparametric regression models
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Publication:3450348
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) Asymptotic distribution theory in statistics (62E20)
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
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- Inference of time-varying regression models
- Kernel-type estimators of jump points and values of a regression function
- Localized realized volatility modeling
- Measuring volatility with the realized range
- Modeling and Forecasting Realized Volatility
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- Nonparametric inference on structural breaks
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- Statistical inference for time-varying ARCH processes
- Testing for smooth structural changes in time series models via nonparametric regression
- Testing structural change in partially linear models
- Testing structural change in time-series nonparametric regression models
- Testing temporal constancy of the spectral structure of a time series
- The jackknife and the bootstrap for general stationary observations
- Validating stationarity assumptions in time series analysis by rolling local periodograms
Cited in
(21)- Oracally efficient estimation and testing for an ARCH model with trend
- Bootstrap-based tests for deterministic time-varying coefficients in regression models
- Non‐parametric detection and estimation of structural change
- A model-free consistent test for structural change in regression possibly with endogeneity
- A bootstrap functional central limit theorem for time-varying linear processes
- Nonparametric fixed effects model for panel data with locally stationary regressors
- Detecting changes in the trend function of heteroscedastic time series
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
- scientific article; zbMATH DE number 5200024 (Why is no real title available?)
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Gradient-based structural change detection for nonstationary time series M-estimation
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Estimation and model identification of longitudinal data time-varying nonparametric models
- Testing structural change in time-series nonparametric regression models
- Bootstrap tests for simple structures in nonparametric time series regression
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Statistical inference of locally stationary functional coefficient models
- Estimating and testing for smooth structural changes in moment condition models
- Nonparametric specification for non-stationary time series regression
- Nonparametric regression for locally stationary time series
- Nonparametric hypothesis of drift function in locally stationary diffusion models
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