Publication:
Nonparametric Inference on Structural Breaks

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URI: https://hdl.handle.net/10016/2446
ISSN: 0304-4076
DOI: 10.1016/S0304-4076(99)00052-4
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nonparametric_JE_2000_ps.pdf (432.08 KB)
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2000
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Elsevier
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Abstract
This 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.
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Nonparametric regression, Dynamics models, Structural breaks, One side kernels
Bibliographic citation
Journal of Econometrics. 2000, vol. 96, nº. 1, p. 113-144
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