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dc.contributor.authorChen, Bin
dc.contributor.authorHong, Yongmiao
dc.contributor.author洪永淼
dc.date.accessioned2013-04-07T01:30:07Z
dc.date.available2013-04-07T01:30:07Z
dc.date.issued2012-05
dc.identifier.citationECONOMETRICA,2012,80(3):1157-1183zh_CN
dc.identifier.issn0012-9682
dc.identifier.urihttp://dx.doi.org/10.3982/ECTA7990
dc.identifier.uriWOS:000304466200007
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/15507
dc.description.abstractChecking parameter stability of econometric models is a long-standing problem. Almost all existing structural change tests in econometrics are designed to detect abrupt breaks. Little attention has been paid to smooth structural changes, which may be more realistic in economics. We propose a consistent test for smooth structural changes as well as abrupt structural breaks with known or unknown change points. The idea is to estimate smooth time-varying parameters by local smoothing and compare the fitted values of the restricted constant parameter model and the unrestricted time-varying parameter model. The test is asymptotically pivotal and does not require prior information about the alternative. A simulation study highlights the merits of the proposed test relative to a variety of popular tests for structural changes. In an application, we strongly reject the stability of univariate and multivariate stock return prediction models in the postwar and post-oil-shocks periods.zh_CN
dc.description.sponsorshipdepartment of economics, University of Rochester; National Science Foundation of Chinazh_CN
dc.language.isoenzh_CN
dc.publisherWILEY-BLACKWELLzh_CN
dc.subjectKernelzh_CN
dc.subjectmodel stabilityzh_CN
dc.subjectnonparametric regressionzh_CN
dc.subjectparameter constancyzh_CN
dc.subjectsmooth structural changezh_CN
dc.titleTesting for Smooth Structural Changes in Time Series Models via Nonparametric Regressionzh_CN
dc.typeArticlezh_CN


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