Specification and structural break tests for additive models with applications to realized variance data

Matthias Fengler, E. Mammen and M. Vogt

Journal of Econometrics, 2015, vol. 188, issue 1, 196-218

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.

Keywords: Additive models; Backfitting; Nonparametric time series analysis; Specification tests; Structural break tests; Realized variance; Heterogeneous autoregressive model (search for similar items in EconPapers)
JEL-codes: C14 C58 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:1:p:196-218

DOI: 10.1016/j.jeconom.2015.04.002

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