Testing for Change Points in Partially Linear Models

(整期优先)网络出版时间:2015-04-14
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Inthispaperweprovideamethodtotesttheexistenceofthechangepointsinthenonparametricregressionfunctionofpartiallylinearmodelswithconditionalheteroscedasticvariance.Weproposetheteststatisticandestablishitsasymptoticpropertiesundersomeregularconditions.Somesimulationstudiesaregiventoinvestigatetheperformanceoftheproposedmethodinfinitesamples.Finally,theproposedmethodisappliedtoarealdataforillustration.