Specification and structural break tests for additive models with applications to realized variance data
We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of the l...
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| Veröffentlicht in: | Journal of econometrics 2015-09, Vol.188 (1), p.196-218 |
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| container_title | Journal of econometrics |
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| creator | Fengler, M.R. Mammen, E. Vogt, M. |
| description | We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of the linear heterogeneous autoregressive model which is widely employed to describe realized variance data. We find that the linearity assumption is often rejected, but actual deviations from linearity are mild. |
| doi_str_mv | 10.1016/j.jeconom.2015.04.002 |
| format | Article |
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| ispartof | Journal of econometrics, 2015-09, Vol.188 (1), p.196-218 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1718087887 |
| source | Access via ScienceDirect (Elsevier) |
| subjects | Additive models Backfitting Econometrics Economic theory Heterogeneous autoregressive model Linear models Mathematical functions Nonparametric time series analysis Realized variance Regression analysis Specification tests Structural break tests Studies Test methods Variance analysis |
| title | Specification and structural break tests for additive models with applications to realized variance data |
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