期刊论文

Zongwu Cai

英文

Journal of Business & Economic Statistics

0735-0015

2023

41

1

228-240

10.1080/07350015.2021.2008406

Zhu’s research is supported by National Natural Science Foundation of China (NSFC) Grants (11871027 and 11731015) and Natural Science Foundation of Jilin Province Grants (20210101143JC). Ling’s research is supported by Hong Kong Research Grants Commission Grants (16303118, 16301620 and 16300621), RGC-Theme-based Research Scheme T31-604/18-N), and the Australian Research Council. Cai’s research is partially supported by NSFC Grants (71631004 and 72033008).

本校为其他机构

This article investigates two test statistics for testing structural changes and thresholds in predictive regression models. The generalized likelihood ratio (GLR) test is proposed for the stationary predictor and the generalized F test is suggested for the persistent predictor. Under the null hypothesis of no structural change and threshold, it is shown that the GLR test statistic converges to a function of a centered Gaussian process, and the generalized F test statistic converges to a function of Brownian motions. A Bootstrap method is propo...