Publication:
Nonparametric Inference on Structural Breaks

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorHidalgo, Javier
dc.date.accessioned2009-07-17T10:17:28Z
dc.date.available2009-07-17T10:17:28Z
dc.date.issued2000
dc.description.abstractThis 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.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Econometrics. 2000, vol. 96, nº. 1, p. 113-144
dc.identifier.doi10.1016/S0304-4076(99)00052-4
dc.identifier.issn0304-4076
dc.identifier.urihttps://hdl.handle.net/10016/2446
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/S0304-4076(99)00052-4
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.jelC14
dc.subject.jelC32
dc.subject.otherNonparametric regression
dc.subject.otherDynamics models
dc.subject.otherStructural breaks
dc.subject.otherOne side kernels
dc.titleNonparametric Inference on Structural Breaks
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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