Statistics and Its Interface

Volume 1 (2008)

Number 2

Testing structural change in time-series nonparametric regression models

Pages: 347 – 366

DOI: http://dx.doi.org/10.4310/SII.2008.v1.n2.a12

Authors

Liangjun Su (Guanghua School of Management, Peking University, Beijing, China)

Zhijie Xiao (Department of Economics, Boston College, Chestnut Hill, Mass., U.S.A.)

Abstract

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.

Keywords

CUSUM test, structural change, nonparametric regression, strong mixing processes, functional central limit theorem

2010 Mathematics Subject Classification

Primary 62G10, 62G20. Secondary 62G08.

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