A note on the Monte Carlo assessment of Impulse Saturation with fat tailed distribution
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.
|Date of creation:||Sep 2008|
|Date of revision:|
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