THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS

Toshio Honda

doi:10.14490/jjss1995.27.45

Toshio Honda

著者情報

キーワード: structural stability, CUSUM test, Nadaraya-Watson kernel estimator, Brownian Bridge, local polynomial regression, absolutely regular process, uniformly mixing process, exponential inequality

ジャーナルフリー

1997 年 27 巻 1 号 p. 45-63

DOI https://doi.org/10.14490/jjss1995.27.45

詳細

抄録

This paper develops an asymptotic theory for CUSUM tests for structural stability with nonparametric regression residuals. The results here allow for dynamic models and dependent errors. Although the test statistics in this paper are similar to those of Hidalgo (1995), they are more widely applicable and the proofs for the asymptotics are mathematically correct.

責任著者(Corresponding author)

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