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An omnibus test to detect time-heterogeneity in time series

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  • Dominique Guégan

    ()

  • Philippe Peretti

    ()

Abstract

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. We model the series as a finite-order auto-regressive process plus an orthogonal Bernstein polynomial to capture heterogeneity. Testing for the null of time-invariance is then achieved by testing the order of the polynomial, using either an information criterion, or a restriction test. The procedure is an omnibus test in the sense that it covers both the pure discrete structural changes and some continuous changes models. To some extent, our paper can be seen as an extension of Heracleous et al. (Econom Rev 27:363–384, 2008 ). Copyright Springer-Verlag 2013

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File URL: http://hdl.handle.net/10.1007/s00180-012-0356-7
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Bibliographic Info

Article provided by Springer in its journal Computational Statistics.

Volume (Year): 28 (2013)
Issue (Month): 3 (June)
Pages: 1225-1239

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Handle: RePEc:spr:compst:v:28:y:2013:i:3:p:1225-1239

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Related research

Keywords: Structural changes; Bernstein polynomial; Time-homogeneity;

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  1. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
  2. repec:hal:cesptp:halshs-00188309 is not listed on IDEAS
  3. Charfeddine Lanouar & Guégan Dominique, 2011. "Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process?," The IUP Journal of Applied Economics, IUP Publications, vol. 0(1), pages 5-25, January.
  4. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  5. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
  6. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  7. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  8. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
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