Nonparametric testing for spatiotemporal structural changes in nonlinear time series models
Nonparametric testing for spatiotemporal structural changes in nonlinear time series models
I’m investigating nonparametric regression methods for detecting and identifying the emergence of smooth structural transitions and evolutionary behaviour in time-varying economic models. This implies empirical analysis of the relation between short-run and long-run interdependence between interval-valued economic variables and macroeconomic policy.
Motivated by the functional flexibility of nonparametric analysis and modelling methods, I apply this method to test smooth-changing parameters in time series nonlinear regression models which undergo spatiotemporal scale and trajectory changes due to, as for instance, investment; adaptations in the properties underlying institutional efficiency and context; endogenous as well as exogenous oscillations in business cycles; monetary and fiscal policy shocks; shifts in preferences and consumption; population dynamics; and development in technology and production.