A new nonparametric stability test with an application to major Chinese macroeconomic time series

DOI10.1007/S11766-013-3097-7MaRDI QIDQ377925zbMATH OpenOpenAlexFDO

Authors Nan Cai, Ying Fang, Zongwu Cai

Publication date 19 November 2013

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-013-3097-7

zbMATH Keywords

wild bootstrapLASSOstability testtime-varying coefficients model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• Bootstrap tests for simple structures in nonparametric time series regression
• Fitting time series models to nonstationary processes
• Least angle regression. (With discussion)
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Testing for the Constancy of Parameters Over Time
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests For Constancy Of Model Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Cusum Test with Ols Residuals
• Trending time-varying coefficient time series models with serially correlated errors

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