Tests of Structural Changes in Conditional Distributions with Unknown Changepoints

Dominique Guegan () and Philippe de Peretti ()
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Dominique Guegan: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr
Philippe de Peretti: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Structural changes; Bernstein polynomial; AICu (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2011-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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ftp://mse.univ-paris1.fr/pub/mse/CES2011/11042.pdf (application/pdf)

Related works:
Working Paper: Tests of structural changes in conditional distributions with unknown changepoints (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:11042

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