Tests of Structural Changes in Conditional Distributions with Unknown Changepoints

Working Paper (CES)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