TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES

Atsushi Inoue

Econometric Theory, 2001, vol. 17, issue 01, pages 156-187

Abstract: This paper proposes nonparametric tests of change in the distribution function of a time series. The limiting null distributions of the test statistics depend on a nuisance parameter, and critical values cannot be tabulated a priori. To circumvent this problem, a new simulation-based statistical method is developed. The validity of our simulation procedure is established in terms of size, local power, and test consistency. The finite-sample properties of the proposed tests are evaluated in a set of Monte Carlo experiments, and the distributional stability in financial markets is examined.

Date: 2001
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