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
Hauptverfasser:	Fengler, M.R., Mammen, E., Vogt, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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