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Authors
Advisor(s)
Abstract(s)
A two-stage procedure based on impulse saturation is suggested to distinguish mean and variance shifts. The resulting zero-mean innovation test statistic has a non standard distribution, with a nuisance parameter.
Hence, simulation-based critical values are provided for some cases of interest. Monte Carlo evidence reveals the test has good power properties to discriminate mean and variance shifts identified through the impulse
saturation break test.
Description
Keywords
breaks mean shift variance shift impulse saturation nuisance parameter
Citation
Santos, C. (2007). Discriminating mean and variance shifts. Working Papers: Economics. N.º 14, 9 p.