Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

This paper investigates two test statistics for structural changes and thresh- olds 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 unit root 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 tests.