Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance

doi:10.1016/j.jeconom.2010.06.001

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	Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
	Zhou, Yong2,3 ; Wan, Alan T. K.1; Xie, Shangyu 2; Wang, Xiaojing 2,4
	2010-11-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	159 期号:1 页码:183-201
摘要	In this paper we develop wavelet methods for detecting and estimating jumps and cusps in the mean function of a non-parametric regression model. An important characteristic of the model considered here is that it allows for conditional heteroscedastic variance, a feature frequently encountered with economic and financial data. Wavelet analysis of change-points in this model has been considered in a limited way in a recent study by Chen et al. (2008) with a focus on jumps only. One problem with the aforementioned paper is that the test statistic developed there has an extreme value null limit distribution. The results of other studies have shown that the rate of convergence to the extreme value distribution is usually very slow, and critical values derived from this distribution tend to be much larger than the true ones. Here, we develop a new test and show that the test statistic has a convenient null limit N(0,1) distribution. This feature gives the proposed approach an appealing advantage over the existing approach. Another attractive feature of our results is that the asymptotic theory developed here holds for both jumps and cusps. Implementation of the proposed method for multiple jumps and cusps is also examined. The results from a simulation study show that the new test has excellent power and the estimators developed also yield very accurate estimates of the positions of the discontinuities. (C) 2010 Elsevier B.V. All rights reserved.
关键词	lambda-sharp cusp Asymptotic Distribution Convergence Discretized estimator Integral estimator Jump Leave-one-out cross validation Lipschitz continuous Normal distribution Resolution level selection
DOI	10.1016/j.jeconom.2010.06.001
语种	英语
资助项目	National Natural Science Funds for Distinguished Young Scholar[70825004] ; National Natural Science Foundation of China (NSFC[10628104] ; National Natural Science Foundation of China (NSFC[10731010] ; National Basic Research Program[2007CB814902] ; Creative Research Groups of China[10721101] ; Shanghai University of Finance and Economics[B803] ; Hong Kong Research Grant Council[CityU-102508]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000282926000012
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11229
专题	应用数学研究所
通讯作者	Wan, Alan T. K.
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Shanghai Univ Finance & Econ, Dept Stat, Shanghai 200433, Peoples R China 4.Duke Univ, Dept Stat Sci, Durham, NC 27708 USA
推荐引用方式 GB/T 7714	Zhou, Yong,Wan, Alan T. K.,Xie, Shangyu,et al. Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance[J]. JOURNAL OF ECONOMETRICS,2010,159(1):183-201.
APA	Zhou, Yong,Wan, Alan T. K.,Xie, Shangyu,&Wang, Xiaojing.(2010).Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance.JOURNAL OF ECONOMETRICS,159(1),183-201.
MLA	Zhou, Yong,et al."Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance".JOURNAL OF ECONOMETRICS 159.1(2010):183-201.