Discriminating mean and variance shifts
Carlos Santos ()
No 14, Working Papers de Economia (Economics Working Papers) from Católica Porto Business School, Universidade Católica Portuguesa
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
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://www.feg.porto.ucp.pt/docentes/repec/WP/1420 ... ariance%20shifts.pdf First version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cap:wpaper:142007
Access Statistics for this paper
More papers in Working Papers de Economia (Economics Working Papers) from Católica Porto Business School, Universidade Católica Portuguesa Contact information at EDIRC.
Bibliographic data for series maintained by Ricardo Goncalves ().