Nonparametric estimation of structural breakpoints

Delgado, Miguel A.; Hidalgo, Javier

Publication:
Nonparametric estimation of structural breakpoints

dc.affiliation.dpto	UC3M. Departamento de Estadística	es
dc.contributor.author	Delgado, Miguel A.
dc.contributor.author	Hidalgo, Javier
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned	2009-04-15T07:02:02Z
dc.date.available	2009-04-15T07:02:02Z
dc.date.issued	1994-12
dc.description.abstract	This paper proposes point and interval estimates of location and size of jumps in multiple regression curves or its derivatives. We are mainly concerned with time series models where structural breaks occur at a given period of time or they are explained by the value taken by some predictor (e.g. threshold models). No previous knowledge of the underlying regression function is required. Left and right limits of the function, with respect to the regressor explaining the break, are estimated at each data point using multivariate multiplicative kernels. The univariate kernel corresponding to the regressor explaining the break is one-sided, with all its mass at the right or left of zero. Since left and right limits are the same, except at the break point, the location of the jump is estimated as the observed regressor value maximizing the difference between left and right limit estimates. This difference, evaluated at the estimated location point, is the estimation of the jump size. A small Monte Carlo study and an empirical application to USA macroecomic data illustrates the performance of the procedure in small samples. The paper also discusses some extensions, in particular the identification of the coordinate explaining the break, the application of the procedure to the estimation of parametric models, and robustification of the method for the influence of outliers.
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/3958
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working Papers. Statistics and Econometrics;
dc.relation.ispartofseries	1994-48-16
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Estadística
dc.subject.other	Structural breaks
dc.subject.other	Nonparametric regression
dc.subject.other	One-sided kernels
dc.subject.other	Strong mixing processes
dc.title	Nonparametric estimation of structural breakpoints
dc.type	working paper	*
dspace.entity.type	Publication