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An Omnibus Test to Detect Time-Heterogeneity in Time Series

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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 des Ponts ParisTech - 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)

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).

Suggested Citation

  • Dominique Guegan & Philippe de Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Working Papers halshs-00721327, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00721327
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00721327
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    References listed on IDEAS

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