Testing for Change Points in Partially Linear Models

作     者：Li-wen ZHANG Zhong-yi ZHU 

作者机构：School of EconomicsShanghai University Department of StatisticsSchool of ManagementFudan University 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2015年第31卷第4期

页      面：879-892页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Supported by the National Natural Science Foundation of China(No.11271080) 

主　　题：change point partially linear model heteroscedastic variance local linear regression bandwidthselection 

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.