Nonparametric inference on structural breaks
Nonparametric inference on structural breaks
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DOI：
10.1016/s0304-4076(99)00052-4
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发表时间：
2000-05-01
影响因子：
6.3
通讯作者：
Hidalgo, J
中科院分区：
文献类型：
--
作者：
Delgado, MA;Hidalgo, J
本文提出了一个可能是动态的非参数回归模型中结构突变的位置和大小的估计。结构突变可以定位在给定的时间段和/或它们可以解释的值由一些回归，如在阈值模型。不需要预先了解潜在的回归函数。本文还研究了几个回归变量解释突变的情况。我们推导出收敛速度，并提供中心极限定理的位置（S）和大小（S）的估计。蒙特卡洛实验说明了我们的估计在小样本的性能。(C)2000年由Elsevier Science S.A.出版。All rights reserved. JEL分类：C14; C32。
This paper proposes estimators of location and size of structural breaks in a, possibly dynamic, nonparametric regression model. The structural breaks can be located at given periods of time and/or they can be explained by the values taken by some regressor, as in threshold models. No previous knowledge of the underlying regression function is required. The paper also studies the case in which several regressors explain the breaks. We derive the rate of convergence and provide Central Limit Theorems for the estimators of the location(s) and size(s). A Monte Carlo experiment illustrates the performance of our estimators in small samples. (C) 2000 Published by Elsevier Science S.A. All rights reserved. JEL classification: C14; C32.