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.
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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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