Semiparametric Regression Model with Multiple Structural Changes

摘要

By introducing semiparametric approach into multiple structural change models, a semiparametric regression model with multiple structural changes has been proposed in this paper. We estimate the nonparametric function in the new model by series estimator, the estimating methods of parameters and structural break points has been given, the consistency and convergence speed of estimated break points and the asymptotic normality of estimated parameters are also proved.