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Local Fourier tests for structural change based on residuals. (English) Zbl 1360.62130

Summary: We propose a structural change test based on the recursive residuals with the local Fourier series estimators. The statistical properties of the proposed test are derived and the empirical properties are shown via simulation. We also consider other structural change tests based on CUSUM, MOSUM, moving estimates (ME), and empirical distribution functions with the recursive residuals and the ordinary residuals. Empirical powers are calculated in various structural change models for the comparison of those tests. These structural change tests are applied to South Korea’s gross domestic product (GDP), South Korean Won to US Dollar currency exchange rates, and South Korea’s Okun’s law.

MSC:

62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
62E17 Approximations to statistical distributions (nonasymptotic)
62P05 Applications of statistics to actuarial sciences and financial mathematics
62P20 Applications of statistics to economics
91B72 Spatial models in economics
91G70 Statistical methods; risk measures
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