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Testing for Change Points in Partially Linear Models

Testing for Change Points in Partially Linear Models
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摘要 In this paper we provide a method to test the existence of the change points in the nonparametric regression function of partially linear models with conditional heteroscedastic variance. We propose the test statistic and establish its asymptotic properties under some regular conditions. Some simulation studies are given to investigate the performance of the proposed method in finite samples. Finally, the proposed method is applied to a real data for illustration. In this paper we provide a method to test the existence of the change points in the nonparametric regression function of partially linear models with conditional heteroscedastic variance. We propose the test statistic and establish its asymptotic properties under some regular conditions. Some simulation studies are given to investigate the performance of the proposed method in finite samples. Finally, the proposed method is applied to a real data for illustration.
作者 Li-wen ZHANG Zhong-yi ZHU
机构地区 School of Economics Department of Statistics
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2015年第4期879-892,共14页 应用数学学报（英文版）
基金 Supported by the National Natural Science Foundation of China(No.11271080)
关键词 change point partially linear model heteroscedastic variance local linear regression bandwidthselection change point partially linear model heteroscedastic variance local linear regression bandwidthselection
分类号 O212.1 [理学—概率论与数理统计] O212.7 [理学—概率论与数理统计]
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参考文献25

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Acta Mathematicae Applicatae Sinica
2015年 第4期

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