Likai Chen, Georg Keilbar, Liangjun Su, Weining Wang
arXiv 2 Dec 2023 · Econometrics
arXiv:2312.01162 · PDF · DOI · OpenAlex · Extracted main text
We investigate the significance of change-points within fully nonparametric regression contexts, with a particular focus on panel data where data generation processes vary across units, and error terms may display complex dependency structures. In our setting the threshold effect depends on one specific covariate, and we permit the true nonparametric regression to vary based on additional (latent) variables. We propose two uniform testing procedures: one to assess the existence of change-points and another to evaluate the uniformity of such effects across units. Our approach involves deriving a straightforward analytical expression to approximate the variance-covariance structure of change-point effects under general dependency conditions. Notably, when Gaussian approximations are made to these test statistics, the intricate dependency structures within the data can be safely disregarded owing to the localized nature of the statistics. This finding bears significant implications for obtaining critical values. Through extensive simulations, we demonstrate that our tests exhibit excellent control over size and reasonable power performance in finite samples, irrespective of strong cross-sectional and weak serial dependency within the data. Furthermore, applying our tests to two datasets reveals the existence of significant nonsmooth effects in both cases.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Engle, R. F. and Ng, V. K (1993) Measuring and testing the impact of news on volatility | 0.737 | 3 | 2 | 100% |
| 2 | Lee, D. S (2008) Randomized experiments from non-random selection in us house elections | 0.737 | 3 | 2 | 100% |
| 3 | Li, J., Chen, L., Wang, W., and Wu, W. B (2024) $l_2$ inference for change points in high-dimensional time series via a two-way mosum self | 0.737 | 3 | 2 | 100% |
| 4 | Barassi, M., Karavias, Y., and Zhu, C (2023) Threshold regression in heterogeneous panel data with interactive fixed effects | 0.644 | 2 | 2 | 100% |
| 5 | Chernozhukov, V., Chetverikov, D., and Kato, K (2017) Central limit theorems and bootstrap in high dimensions | 0.644 | 2 | 2 | 100% |
| 6 | Fong, Y., Huang, Y., Gilbert, P. B., and Permar, S. R (2017) chngpt: Threshold regression model estimation and inference | 0.644 | 2 | 2 | 100% |
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| 9 | Andrews, D. W (1993) Tests for parameter instability and structural change with unknown change point | 0.511 | 2 | 2 | 50% |
| 10 | Calonico, S., Cattaneo, M. D., and Titiunik, R (2014) Robust nonparametric confidence intervals for regression-discontinuity designs | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 62 scored citations.