Discriminating mean and variance shifts

Carlos Santos ()

No 14, Working Papers de Economia (Economics Working Papers) from Católica Porto Business School, Universidade Católica Portuguesa

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.

Keywords: breaks; mean shift; variance shift; impulse saturation; nuisance parameter (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C52 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cap:wpaper:142007

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