Hidalgo, Javier (2004) Bootstrap test for breaks of a regression model with dependent data. In: UCL/STAT - Statistics seminars , 06 Feb 2004, Louvain-la-Neuve, Belgium.
Abstract. The paper describes and examines a test for breaks in a nonparametric regression function with dependent errors. We show that after normalization the limit distribution of the test is a Gumbel distribution. However, as (a) the normalization constants are model dependent and difficult to estimate and (b) the rate of convergence of the finite sample distribution of the statistic to the asymptotic one is very slow, see Hall (1979), inferences based on the asymptotic distribution may be difficult to perform or not be very reliable. For those reasons, we describe and examine the bootstrap analogue of the test by mean of bootstrapping the model in the ”frequency domain”, showing its asymptotic validity under suitable regularity conditions.
|Item Type:||Conference or Workshop Item (Paper)|
|Additional Information:||© 2004 The Author|
|Uncontrolled Keywords:||Nonparametric regression, long-memory dependence, extreme-values, botstrap tests, Barlett approximation|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > Economists Online
|Date Deposited:||18 Apr 2011 14:29|
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