文章基本信息

标题：Testing structural change in time-series nonparametric regression models
本地全文：下载
作者：Liangjun Su ; Zhijie Xiao
期刊名称：Statistics and Its Interface
印刷版ISSN：1938-7989
电子版ISSN：1938-7997
出版年度：2008
卷号：1
期号：2
页码：347-366
DOI：10.4310/SII.2008.v1.n2.a12
出版社：International Press
摘要：We propose a CUSUM type of test for structural change in dynamic nonparametric regression models. It is based upon the cumulative sums of weighted residuals from a single nonparametric regression and complements the conventional parameter instability tests in parametric models. We derive the limiting distributions of the test under both the null hypothesis and sequences of local alternatives. A bootstrap procedure is also proposed and its validity is justified. Finally, simulation experiments are conducted to investigate the finite sample properties of our test.
关键词：CUSUM test; structural change; nonparametric regression; strong mixing processes; functional central limit theorem