Record number :
436379
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
Link To Document :
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