کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097274 | 1376579 | 2008 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Nonparametric simultaneous testing for structural breaks
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper we consider a regression model with errors that are martingale differences. This modeling includes the regression of both independent and time series data. The aim is to study the appearance of structural breaks in both the mean and the variance functions, assuming that such breaks may occur simultaneously in both the functions. We develop nonparametric testing procedures that simultaneously test for structural breaks in the conditional mean and the conditional variance. The asymptotic distribution of an adaptive test statistic is established, as well as its asymptotic consistency and efficiency. Simulations illustrate the performance of the adaptive testing procedure. An application to the analysis of financial time series also demonstrates the usefulness of the proposed adaptive test in practice.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 143, Issue 1, March 2008, Pages 123-142
Journal: Journal of Econometrics - Volume 143, Issue 1, March 2008, Pages 123-142
نویسندگان
Jiti Gao, Irène Gijbels, Sébastien Van Bellegem,