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Impulse saturation break tests

  • Santos, Carlos

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File URL: http://www.sciencedirect.com/science/article/B6V84-4PGXF2X-1/2/293f968867aa096ebf41cdc8ec88e089
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 98 (2008)
Issue (Month): 2 (February)
Pages: 136-143

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Handle: RePEc:eee:ecolet:v:98:y:2008:i:2:p:136-143
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. David Hendry & Carlos Santos, 2003. "Regression Models with Data-based Indicator Variables," Economics Series Working Papers 2004-W04, University of Oxford, Department of Economics.
  2. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  3. Carlos Santos, 2007. "Discriminating mean and variance shifts," Working Papers de Economia (Economics Working Papers) 14, Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto).
  4. Jennifer L. Castle, 2005. "Evaluating PcGets and RETINA as Automatic Model Selection Algorithms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 837-880, December.
  5. David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
  6. Carlos Santos & David Hendry, 2006. "Saturation in Autoregressive Models," Notas Económicas, Faculdade de Economia, Universidade de Coimbra, issue 24, pages 8-19, December.
  7. David Hendry & Carlos Santos, 2007. "AUTOMATIC TESTS for SUPER EXOGENEITY," Working Papers de Economia (Economics Working Papers) 11, Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto).
  8. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
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