An Omnibus Test to Detect Time-Heterogeneity in Time Series
AbstractThis 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).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00560221.
Date of creation: Oct 2011
Date of revision:
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00560221
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Structural changes; Bernstein polynomial; time-homogeneity;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-05 (All new papers)
- NEP-ETS-2011-02-05 (Econometric Time Series)
- NEP-ORE-2011-02-05 (Operations Research)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.