Non‐parametric detection and estimation of structural change

Dennis Kristensen

57 citations0/0 files storedEconometrics Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Statistical Methods and Inference Advanced Statistical Methods and Models

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 57 citations exist upstream.

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1996A YIELD‐FACTOR MODEL OF INTEREST RATES n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1991Common Factors Affecting Bond Returns 1989Testing for the Constancy of Parameters Over Time 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity 1992Testing for parameter instability in linear models

Cited by

2015Regression-based estimation of dynamic asset pricing models 2017Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models 2014Modeling and testing smooth structural changes with endogenous regressors 2013Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations 2012Predicting severe simultaneous recessions using yield spreads as leading indicators

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.