RT Journal Article
T1 Nonparametric Inference on Structural Breaks
A1 Delgado, Miguel A.
A1 Hidalgo, Javier
AB 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.
PB Elsevier
SN 0304-4076
YR 2000
FD 2000
LK https://hdl.handle.net/10016/2446
UL https://hdl.handle.net/10016/2446
LA eng
DS e-Archivo
RD 29 may. 2024