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Inference on breaks in weak location time series models with quasi-Fisher scores

Author

Listed:
  • Francq, Christian
  • Trapani, Lorenzo
  • Zakoian, Jean-Michel

Abstract

Based on Godambe's theory of estimating functions, we propose a class of cumulative sum (CUSUM) statistics to detect breaks in the dynamics of time series under weak assumptions. First, we assume a parametric form for the conditional mean, but make no specific assumption about the data-generating process (DGP) or even about the other conditional moments. The CUSUM statistics we consider depend on a sequence of weights that influence their asymptotic accuracy. Data-driven procedures are proposed for the optimal choice of the sequence of weights, in Godambe's sense. We also propose modified versions of the tests that allow to detect breaks in the dynamics even when the conditional mean is misspecified. Our results are illustrated using Monte Carlo experiments and real financial data.

Suggested Citation

  • Francq, Christian & Trapani, Lorenzo & Zakoian, Jean-Michel, 2025. "Inference on breaks in weak location time series models with quasi-Fisher scores," MPRA Paper 123741, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:123741
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    File URL: https://mpra.ub.uni-muenchen.de/123741/1/MPRA_paper_123741.pdf
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    More about this item

    Keywords

    Break detection in the conditional mean; Change-points; CUSUM; Estimating functions; Quasi-likelihood estimator.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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