Nonparametric inference on structural breaks

This paper proposes estimators of location and size of structural breaks in a, possibly dynamic, nonparametric regression model. The structural breaks can be located at given periods of time and/or they can be explained by th e values taken by some regressor, as in threshold models. No previous knowl edge of the underlying regression function is required. The paper also stud ies the case in which several regressors explain the breaks. We derive the rate of convergence and provide Central Limit Theorems for the estimators o f the location(s) and size(s). A Monte Carlo experiment illustrates the per formance of our estimators in small samples. (C) 2000 Published by Elsevier Science S.A. All rights reserved. JEL classification: C14; C32.