Statistics and Its Interface
Volume 1 (2008)
Testing structural change in time-series nonparametric regression models
Pages: 347 – 366
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.
CUSUM test, structural change, nonparametric regression, strong mixing processes, functional central limit theorem
2010 Mathematics Subject Classification
Primary 62G10, 62G20. Secondary 62G08.