Abstract:
In many applications like finance, industry and medicine, it is important to consider
that the model parameters may undergo changes at unknown moment in time.
This paper deals with estimation, testing and confidence interval of a change point
for a univariate variable which is assumed to be normally distributed. To detect a
possible change point, we use a Schwarz Information Criterion (SIC) statistic whose
asymptotic distribution under the null hypothesis is determined. The percentile
bootstrap method is used to construct the confidence interval of the estimated
change point. The developed tools and methods are applied to the 1987 – 1988 US
trade deficit data. Our results show that a significant change in US trade deficit
occurred in November 1987. Further, it is shown that the percentile bootstrap
confidence intervals are not always symmetrical.
