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Autores
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Indicators Breaks General-to-specific Model selection Power of tests
Contexto Educativo
Citação
SANTOS, Carlos - Impulse saturation break tests. Economics Letters. ISSN 0165-1765. Vol. 98 (2008) p. 136–143
Editora
Elsevier