Publikation:

Testing for Structural Change in Time-Varying Nonparametric Regression Models

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2015

Autor:innen

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-0-288970
DOI (zitierfähiger Link)
https://doi.org/10.1017/S0266466614000565
ArXiv-ID

Internationale Patentnummer

Link zur Lizenz
Urheberrechtlich geschützt

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Open Access Green

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

Econometric Theory. 2015, 31(04), pp. 811-859. ISSN 0266-4666. eISSN 1469-4360. Available under: doi: 10.1017/S0266466614000565

Zusammenfassung

In this paper, we consider a nonparametric model with a time-varying regression function and locally stationary regressors. We are interested in the question whether the regression function has the same shape over a given time span. To tackle this testing problem, we propose a kernel-based L2-test statistic. We derive the asymptotic distribution of the statistic both under the null and under fixed and local alternatives. To improve the small sample behavior of the test, we set up a wild bootstrap procedure and derive the asymptotic properties thereof. The theoretical analysis of the paper is complemented by a simulation study and a real data example.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690VOGT, Michael, 2015. Testing for Structural Change in Time-Varying Nonparametric Regression Models. In: Econometric Theory. 2015, 31(04), pp. 811-859. ISSN 0266-4666. eISSN 1469-4360. Available under: doi: 10.1017/S0266466614000565
BibTex
@article{Vogt2015Testi-31214,
  year={2015},
  doi={10.1017/S0266466614000565},
  title={Testing for Structural Change in Time-Varying Nonparametric Regression Models},
  number={04},
  volume={31},
  issn={0266-4666},
  journal={Econometric Theory},
  pages={811--859},
  author={Vogt, Michael}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/31214">
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/31214"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-06-19T08:24:32Z</dcterms:available>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:abstract xml:lang="eng">In this paper, we consider a nonparametric model with a time-varying regression function and locally stationary regressors. We are interested in the question whether the regression function has the same shape over a given time span. To tackle this testing problem, we propose a kernel-based L&lt;sub&gt;2&lt;/sub&gt;-test statistic. We derive the asymptotic distribution of the statistic both under the null and under fixed and local alternatives. To improve the small sample behavior of the test, we set up a wild bootstrap procedure and derive the asymptotic properties thereof. The theoretical analysis of the paper is complemented by a simulation study and a real data example.</dcterms:abstract>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/31214/1/Vogt_0-288970.pdf"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-06-19T08:24:32Z</dc:date>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:language>eng</dc:language>
    <dcterms:title>Testing for Structural Change in Time-Varying Nonparametric Regression Models</dcterms:title>
    <dcterms:issued>2015</dcterms:issued>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:contributor>Vogt, Michael</dc:contributor>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/31214/1/Vogt_0-288970.pdf"/>
    <dc:creator>Vogt, Michael</dc:creator>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen