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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

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