Nonparametric simultaneous testing for structural breaks

被引:12
作者
Gao, Jiti [3 ]
Gijbels, Irene [1 ,2 ]
Van Bellegeme, Sebastien [4 ]
机构
[1] Katholieke Univ Leuven, Dept Math, B-3001 Louvain, Belgium
[2] Katholieke Univ Leuven, Univ Ctr Stat, B-3001 Louvain, Belgium
[3] Univ Western Australia, Nedlands, WA 6009, Australia
[4] Catholic Univ Louvain, B-3000 Louvain, Belgium
基金
澳大利亚研究理事会; 美国国家科学基金会;
关键词
conditional mean and variance function; nonparametric testing; structural break; threshold model; time series analysis;
D O I
10.1016/j.jeconom.2007.08.009
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this paper we consider a regression model with errors that are martingale differences. This modeling includes the regression of both independent and time series data. The aim is to study the appearance of structural breaks in both the mean and the variance functions, assuming that such breaks may occur simultaneously in both the functions. We develop nonparametric testing procedures that simultaneously test for structural breaks in the conditional mean and the conditional variance. The asymptotic distribution of an adaptive test statistic is established, as well as its asymptotic consistency and efficiency. Simulations illustrate the performance of the adaptive testing procedure. An application to the analysis of financial time series also demonstrates the usefulness of the proposed adaptive test in practice. (c) 2007 Elsevier B.V. All rights reserved.
引用
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页码:123 / 142
页数:20
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