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Non-parametric detection and estimation of structural change

Kristensen, D; (2012) Non-parametric detection and estimation of structural change. ECONOMETRICS JOURNAL , 15 (3) pp. 420-461. 10.1111/j.1368-423X.2012.00378.x. Green open access

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Abstract

SUMMARY: We propose a semi-non-parametric 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 time-varying (non-parametric) and constant (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 finite-sample performance of the estimators and tests. The techniques are employed in the analysis of structural change in the US productivity and the Eurodollar term structure.

Type: Article
Title: Non-parametric detection and estimation of structural change
Open access status: An open access version is available from UCL Discovery
DOI: 10.1111/j.1368-423X.2012.00378.x
Publisher version: http://dx.doi.org/ 10.1111/j.1368-423X.2012.00378....
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Mathematical Methods in Social Sciences, Estimation, Generalized Likelihood Ratio, Locally Stationary, Non-parametric, Structural Change, Testing, Time Series Regression, Time Varying, Time-series Models, Partially Linear-models, Efficient Estimation, Semiparametric Regression, Parameter Instability, Term Structure, Tests, Nonstationary, Constancy, Bootstrap
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/1380682
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