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Testing Structural Change In Time-Series Nonparametric Regression Models, Liangjun Su, Zhijie Xiao
Testing Structural Change In Time-Series Nonparametric Regression Models, Liangjun Su, Zhijie Xiao
Research Collection School Of Economics
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 boot-strap procedure is also proposed and its validity is justified. Finally, simulation experiments are conducted to investigate the finite sample properties of our test.