Hostname: page-component-cd9895bd7-dk4vv Total loading time: 0 Render date: 2024-12-27T17:53:13.587Z Has data issue: false hasContentIssue false

TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES

Published online by Cambridge University Press:  07 February 2001

Atsushi Inoue
Affiliation:
North Carolina State University

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.

Type
Research Article
Copyright
© 2001 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)