|
on Econometric Time Series |
| 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 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2011-13&r=ets |