Specification and structural break tests for additive models with applications to realized variance data
Journal
Journal of Econometrics
ISSN
0304-4076
ISSN-Digital
1872-6895
Type
journal article
Date Issued
2015-09-01
Author(s)
Abstract
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.
Language
English
Keywords
Additive models
Backfitting
Nonparametric time series analysis
Specification tests
Realized variance; Heterogeneous autoregressive model
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Publisher
Elsevier
Publisher place
Amsterdam
Volume
188
Number
1
Start page
196
End page
218
Pages
23
Subject(s)
Eprints ID
228047