An omnibus test to detect time-heterogeneity in time series

Dominique Guegan () and Philippe de Peretti ()
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Dominique Guegan: 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

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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).

Keywords: Structural changes; Bernstein polynomial; Time-homogeneity; Economic Theory; Probability and Statistics in Computer Science; Probability Theory and Stochastic Processes; Changements structurels; Polynôme de Bernstein; Homogénéité Temporelle (search for similar items in EconPapers)
Date: 2013-06
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Published in Computational Statistics, 2013, 28 (3), pp.1225-1239. ⟨10.1007/s00180-012-0356-7⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00759093

DOI: 10.1007/s00180-012-0356-7

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