An Omnibus Test to Detect Time-Heterogeneity in Time Series

Dominique Guegan () and Philippe de Peretti ()
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Dominique Guegan: PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Philippe de Peretti: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: 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).

Keywords: Time-homogeneity; maximum entropy bootstrap; Test; homogénéité temporelle; ré-échantillonnage; maximum d'entropie (search for similar items in EconPapers)
Date: 2012-07-27
New Economics Papers: this item is included in nep-ets
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Related works:
Journal Article: An omnibus test to detect time-heterogeneity in time series (2013)
Working Paper: An Omnibus Test to Detect Time-Heterogeneity in Time Series (2011)
Working Paper: An omnibus test to detect time-heterogeneity in time series (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00721327

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