Impulse saturation break tests

• Author(s): Santos, Carlos
• Date: 2008
• Persistent ID: http://hdl.handle.net/10400.14/6621
• Origin: Veritati - Repositório Institucional da Universidade Católica Portuguesa
• Subject(s): Indicators; Breaks; General-to-specific; Model selection; Power of tests
• Document Type: Journal article
• Language: English
• Contributor(s): Veritati - Repositório Institucional da Universidade Católica Portuguesa

Description

We develop a new class of tests for breaks at unknown dates based on impulse saturation. Theoretical Power is derived for mean and variance shifts. Empirical power is close to theory results. The test performs well in both cases.