Document details

Impulse saturation break tests

Author(s): Santos, Carlos cv logo 1

Date: 2008

Persistent ID:

Origin: Veritati - Repositório Institucional da Universidade Católica Portuguesa

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

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.
Document Type Article
Language English
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