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An Omnibus Test to Detect Time-Heterogeneity in Time Series

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  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris 1 - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Philippe De Peretti

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris 1 - Panthéon-Sorbonne)

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    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).

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    Bibliographic Info

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00560221.

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    Date of creation: Oct 2011
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    Handle: RePEc:hal:cesptp:halshs-00560221

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00560221
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    Related research

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

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