An omnibus test to detect time-heterogeneity in time series

Dominique Guegan () and Philippe de Peretti ()
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Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan
Philippe de Peretti: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2010-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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http://mse.univ-paris1.fr/pub/mse/CES2010/10098.pdf (application/pdf)

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 (2012)
Working Paper: An Omnibus Test to Detect Time-Heterogeneity in Time Series (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10098

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