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Discriminating mean and variance shifts

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

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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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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 14.

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

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Related research
Keywords: breaks mean shift variance shift impulse saturation nuisance parameter

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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