A new nonparametric stability test with an application to major Chinese macroeconomic time series

作者：Cai Nan; Cai Zong wu; Fang Ying^*

来源：Applied Mathematics-A Journal of Chinese Universities Series B, 2013, 28(1): 1-16.

DOI：10.1007/s11766-013-3097-7

• LASSO
• stability test
• time-varying coefficients model
• wild bootstrap

In this paper, we propose a new test for testing the stability in macroeconomic time series, based on the LASSO variable selection approach and nonparametric estimation of a time-varying model. The wild bootstrap is employed to obtain its data-dependent critical values. We apply the new method to test the stability of bivariate relations among 92 major Chinese macroeconomic time series. We find that more than 70% bivariate relations are significantly unstable.

• 出版日期2013-3
• 单位厦门大学