Guegan, Dominique; Peretti, Philippe de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
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...