A note on the Monte Carlo assessment of Impulse Saturation with fat tailed distribution

Carlos Santos ()
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Carlos Santos: Faculdade de Economia e Gestão - Universidade Católica Portuguesa - Porto

No 52008, Working Papers de Economia (Economics Working Papers) from Católica Porto Business School, Universidade Católica Portuguesa

Abstract: 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.

Keywords: nonnormality; impulse saturation; robust estimation (search for similar items in EconPapers)
JEL-codes: C13 C16 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2008-09
New Economics Papers: this item is included in nep-ecm
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