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Non‐parametric detection and estimation of structural change


  • Dennis Kristensen


We propose a nonparametric 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 nonparametric and 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 fi?nite-sample performance of the estimators and tests. The techniques are employed in the analysis of structural change in US productivity and the Eurodollar term structure.
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  • Dennis Kristensen, 2012. "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 420-461, October.
  • Handle: RePEc:wly:emjrnl:v:15:y:2012:i:3:p:420-461 DOI: j.1368-423X.2012.00378.x

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    References listed on IDEAS

    1. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
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    Cited by:

    1. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    2. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    3. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
    4. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
    5. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
    6. repec:eee:econom:v:202:y:2018:i:2:p:245-267 is not listed on IDEAS
    7. Pouliot, William, 2016. "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, vol. 58(C), pages 523-534.
    8. Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
    9. Wu, Jilin, 2016. "Detecting structural changes under nonstationary volatility," Economics Letters, Elsevier, vol. 146(C), pages 151-154.
    10. Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 3014, Cowles Foundation for Research in Economics, Yale University.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes


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