Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
研究了检验预测回归模型中结构变化和阈值的两种检验统计量，分别适用于平稳和持久预测变量，并提出了Bootstrap方法获取临界值。
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 proposed to obtain the critical values of test statistics. Simulation studies and a real example are given to assess the performances of the proposed tests.