An Omnibus Test to Detect Time-Heterogeneity in Time Series
In this paper, we present a procedure that tests for the null of time-homogeneity of the first two moments of a time-series. Whereas the literature dedicated to structural breaks testing procedures often focuses on one kind of alternative, i.e. discrete shifts or smooth transition, our procedure is designed to deal with a broader alternative including i) discrete shifts, ii) smooth transition, iii) time-varying moments, iv) probability-driven breaks, v) GARCH or Stochastic Volatility Models for the variance. Our test uses the recently introduced maximum entropy bootstrap, designed to capture both time-dependency and time-heterogeneity. Running simulations, our procedure appears to be quite powerful. To some extent, our paper is an extension of Heracleous, Koutris and Spanos (2008).
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