Specification and structural break tests for additive models with applications to realized variance data
2015
Fengler, M.R. | Mammen, E. | Vogt, M.
We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of the linear heterogeneous autoregressive model which is widely employed to describe realized variance data. We find that the linearity assumption is often rejected, but actual deviations from linearity are mild.
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书目信息
出版者
Wiley-VCH Verlag
其它主题
Nonparametric time series analysis; Economic theory; Realized variance; Heterogeneous autoregressive model; Structural break tests; C58; C14; Specification tests; Backfitting; Variance
语言
英语
类型
Journal Article; Text
2024-02-28
MODS