Title of article
Impulse saturation break tests
Author/Authors
Carlos Santos، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
8
From page
136
To page
143
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
Keywords
Indicators , Breaks , Model selection , Power of tests , General-to-specific
Journal title
Economics Letters
Serial Year
2008
Journal title
Economics Letters
Record number
436379
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