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A note on the Monte Carlo assessment of Impulse Saturation with fat tailed distribution

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  • Carlos Santos

    ()
    (Faculdade de Economia e Gestão - Universidade Católica Portuguesa - Porto)

Abstract

Monte Carlo evidence is provided as to the efficiency of the impulse saturation estimator in a location-scale model with heavy-tailed distributions. Comparisons show that the IS estimator is always more efficient than the OLS and can even outperform the Method of Moments estimator in some instances.

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File URL: http://www.porto.ucp.pt/feg/repec/WP/052008%20-%20Santos%20-%20A%20note%20on%20the%20Monte%20Carlo%20assessment.pdf
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Bibliographic Info

Paper provided by Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) in its series Working Papers de Economia (Economics Working Papers) with number 052008.

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Length: 7 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:cap:wpaper:052008

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Keywords: nonnormality; impulse saturation; robust estimation;

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