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

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Author Info
Carlos Santos () (Faculdade de Economia e Gestão - Universidade Católica Portuguesa (Porto))

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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://dspace.feg.porto.ucp.pt:8080/dspace/bitstream/2386/124/1/052008+-+Santos+-+A+note+on+the+Monte+Carlo+assessment.pdf
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Publisher Info
Paper provided by Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) in its series Documentos de Trabalho em Economia (Working Papers in Economics) with number 05.

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

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Related research
Keywords: nonnormality; impulse saturation; robust estimation;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

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This page was last updated on 2009-11-17.

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