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Discriminating mean and variance shifts

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  • Carlos Santos

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

Abstract

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.

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File URL: http://www.porto.ucp.pt/feg/repec/WP/142007%20-%20Santos%20-%20Discriminating%20mean%20and%20variance%20shifts.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 14.

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Length: 8 pages
Date of creation: Aug 2007
Date of revision:
Handle: RePEc:cap:wpaper:142007

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Keywords: breaks; mean shift; variance shift; impulse saturation; nuisance parameter;

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