Testing for structural change in time-varying nonparametric regression models
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Publication:3450348
DOI10.1017/S0266466614000565zbMATH Open1441.62898OpenAlexW2056937284MaRDI QIDQ3450348FDOQ3450348
Authors: Michael Vogt 
Publication date: 3 November 2015
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000565
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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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Cited In (21)
- Bootstrap-based tests for deterministic time-varying coefficients in regression models
- Non‐parametric detection and estimation of structural change
- A bootstrap functional central limit theorem for time-varying linear processes
- A model-free consistent test for structural change in regression possibly with endogeneity
- Detecting changes in the trend function of heteroscedastic time series
- Nonparametric fixed effects model for panel data with locally stationary regressors
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
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- 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 hypothesis of drift function in locally stationary diffusion models
- Nonparametric regression for locally stationary time series
- Oracally efficient estimation and testing for an ARCH model with trend
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