nep-ets New Economics Papers
on Econometric Time Series
Issue of 2011‒05‒07
one paper chosen by
Yong Yin
SUNY at Buffalo

  1. Nonparametric Detection and Estimation of Structural Change By Dennis Kristensen

  1. By: Dennis Kristensen (Columbia University and CREATES)
    Abstract: We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null and alternative, generalized F and Wald tests are developed. The asymptotic distributions of the estimators and test statistics are derived. A simulation study examines the fi?nite-sample performance of the estimators and tests. The techniques are employed in the analysis of structural change in US productivity and the Eurodollar term structure.
    Keywords: structural change, regression, nonparametric, estimation, testing, generalized likelihood ratio, time-varying, locally stationary.
    JEL: C12 C13 C14 C22
    Date: 2011–04–18

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