Detalhes do Documento

Impulse saturation break tests

Autor(es): Santos, Carlos cv logo 1

Data: 2008

Identificador Persistente: http://hdl.handle.net/10400.14/6621

Origem: Veritati - Repositório Institucional da Universidade Católica Portuguesa

Assunto(s): Indicators; Breaks; General-to-specific; Model selection; Power of tests


Descrição
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.
Tipo de Documento Artigo
Idioma Inglês
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