Publication
Impulse saturation break tests
| dc.contributor.author | Santos, Carlos | |
| dc.date.accessioned | 2011-10-21T10:17:03Z | |
| dc.date.available | 2011-10-21T10:17:03Z | |
| dc.date.issued | 2008-08 | |
| dc.description.abstract | 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. | por |
| dc.identifier.citation | SANTOS, Carlos - Impulse saturation break tests. Economics Letters. ISSN 0165-1765. Vol. 98 (2008) p. 136–143 | por |
| dc.identifier.uri | http://hdl.handle.net/10400.14/6621 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Elsevier | por |
| dc.relation.publisherversion | doi:10.1016/j.econlet.2007.04.021 | por |
| dc.subject | Indicators | por |
| dc.subject | Breaks | por |
| dc.subject | General-to-specific | por |
| dc.subject | Model selection | por |
| dc.subject | Power of tests | por |
| dc.title | Impulse saturation break tests | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | restrictedAccess | por |
| rcaap.type | article | por |