Testing for structural change in time-varying nonparametric regression models
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Asymptotic distribution theory in statistics (62E20) 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)
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Cites work
- A central limit theorem for generalized quadratic forms
- A measure of stationarity in locally stationary processes with applications to testing
- A simple consistent bootstrap test for a parametric regression function
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- Bandwidth selection for smooth backfitting in additive models
- Basic properties of strong mixing conditions. A survey and some open questions
- Bootstrap tests for simple structures in nonparametric time series regression
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Change-points in nonparametric regression analysis
- Comparing nonparametric versus parametric regression fits
- Consistent model specification tests for time series econometric models
- Estimation of semiparametric locally stationary diffusion models
- Frequency domain tests of semiparametric hypotheses for locally stationary process
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- 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
- Multiscale local change point detection with applications to value-at-risk
- Nonparametric inference on structural breaks
- Nonparametric regression for locally stationary time series
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Statistical inference for time-inhomogeneous volatility models.
- 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
(25)- Gradient-based structural change detection for nonstationary time series M-estimation
- Nonparametric fixed effects model for panel data with locally stationary regressors
- A model-free consistent test for structural change in regression possibly with endogeneity
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Statistical inference of locally stationary functional coefficient models
- Estimation and model identification of longitudinal data time-varying nonparametric models
- Nonparametric specification for non-stationary time series regression
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Oracally efficient estimation and testing for an ARCH model with trend
- Non‐parametric detection and estimation of structural change
- Nonparametric hypothesis of drift function in locally stationary diffusion models
- scientific article; zbMATH DE number 5200024 (Why is no real title available?)
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- A bootstrap functional central limit theorem for time-varying linear processes
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
- Detecting changes in the trend function of heteroscedastic time series
- Testing structural change in time-series nonparametric regression models
- Bootstrap tests for simple structures in nonparametric time series regression
- Estimating and testing for smooth structural changes in moment condition models
- Dynamic single-index scalar-on-function model
- An Adaptive Kernel-Based Structural Change Test for Copulas
- Estimation for time-varying coefficient smoothed quantile regression
- Double Dynamic Max-Copula Model with Application to Financial Time Series
- Nonparametric regression for locally stationary time series
- Bootstrap-based tests for deterministic time-varying coefficients in regression models
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