Testing structural change in time-series nonparametric regression models

DOI10.4310/SII.2008.V1.N2.A12zbMATH Open1230.62057MaRDI QIDQ660069FDOQ660069

Authors: Liangjun Su, Zhijie Xiao 

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

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zbMATH Keywords

nonparametric regressionfunctional central limit theoremstructural changeCUSUM teststrong mixing processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

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• Testing for structural change in time-varying nonparametric regression models
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
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• A weak convergence result for sequential empirical processes under weak dependence
• Nonparametric regression with multiple thresholds: estimation and inference
• Testing for parameter stability in nonlinear autoregressive models
• Change-point detection for the link function in a single-index model
• Multiple change-point detection for regression curves
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• Testing for smooth structural changes in time series models via nonparametric regression
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
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• Consistent nonparametric change point detection combining CUSUM and marked empirical processes
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• Nonparametric comparison of several transformations of distribution functions
• Inference in Nonlinear Econometric Models with Structural Change

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