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Tests of structural changes in conditional distributions with unknown changepoints

Author

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  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Philippe de Peretti

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper focuses on a procedure to test for structural changes in the first two moments of a time series, when no information about the process driving the breaks is available. To approximate the process, an orthogonal Bernstein polynomial is used and testing for the null is achieved either by using an AICu information criterion, or a restriction test. The procedure covers both the pure discrete structural change and the continuous changes models. Running Monte-Carlo simulations, we show that the test has power against various alternatives.

Suggested Citation

  • Dominique Guegan & Philippe de Peretti, 2011. "Tests of structural changes in conditional distributions with unknown changepoints," Post-Print halshs-00611932, HAL.
    • Handle: RePEc:hal:journl:halshs-00611932
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00611932
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    References listed on IDEAS

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    1. Charfeddine Lanouar & Guégan Dominique, 2011. "Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process?," The IUP Journal of Applied Economics, IUP Publications, vol. 0(1), pages 5-25, January.
    2. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    3. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
    4. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    6. Andreas Koutris & Maria Heracleous & Aris Spanos, 2008. "Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective," Econometric Reviews, Taylor & Francis Journals, vol. 27(4-6), pages 363-384.
    7. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
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