Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062097 | Economics Letters | 2008 | 8 Pages |
Abstract
We develop a new class of tests for breaks at unknown dates based on impulse saturation. Theoretical Power is derived for mean and variance shifts. Empirical power is close to theory results. The test performs well in both cases.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Carlos Santos,