Impulse saturation break tests

Economics Letters

Volumn 98, Issue 2, 2008, Pages 136-143

  Santos, Carlos ^a  

^a CBQF CENTRO DE BIOTECNOLOGIA E QUÍMICA FINA LABORATÓRIO ASSOCIADO   (Portugal)

Author keywords

Breaks; General to specific; Indicators; Model selection; Power of tests

Indexed keywords

EID: 37549043491     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2007.04.021     Document Type: Article

References (10)

1. Bai J., and Perron P. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18 (2003) 1-22
2. Castle J.L. Evaluating PcGets and RETINA as automatic model selection algorithms. Oxford Bulletin of Economics and Statistics 67 (2005) 837-880
3. Hendry D.F. Dynamic Econometrics (1995), Oxford University Press, Oxford
4. Hendry D.F. Epilogue: The Success of General-to-Specific Model Selection. In: Hendry D.F. (Ed). Econometrics: Alchemy or Science?. New edition (2000), Oxford University Press, Oxford
5. Hendry, D.F., Castle, J.L., 2006. Extending the Boundaries of PcGets: Non-linear Models, Unpublished Paper, Department of Economics, University of Oxford.
6. Hendry D.F., and Santos C. Regression models with data-based indicator variables. Oxford Bulletin of Economics and Statistics 67 5 (2005) 571-595
7. Hendry D.F., and Santos C. Saturation in autoregressive models. Notas Económicas 24 (2006) 1-17
8. Hendry, D.F., Santos, C., 2006b. A Test to Discriminate Mean and Variance Shifts, Unpublished Paper, Department of Economics, University of Oxford.
9. Hendry, D.F., Santos, C., 2006c. Automatic Tests of Super Exogeneity, Unpublished Paper, Department of Economics, University of Oxford.
10. Hendry D.F., Johansen S., and Santos C. Automatic Selection of Indicators in a Fully Saturated Regression. Computational Statistics (2007) Forthcoming