Saturation in autoregressive models
DOI:
https://doi.org/10.14195/2183-203X_24_1Abstract
In this paper, we extend the impulse saturation algorithm to a class of dynamic models. We show that the procedure is still correctly sized for stationary AR(1) processes, independently of the number of splits used for sample partitions. We derive theoretical power when there is an additive outlier in the data, and present simulation evidence showing good empirical rejection frequencies against such an alternative. Extensive Monte Carlo evidence is presented to document that the procedure has good power against a level shift in the last rT% of the sample observations. This result does not depend on the level of serial correlation of the data and does not require the use of a (mis-specified) location-scale model, thus opening the door to an automatic class of break tests that could outperform those of the Bai-Perron type.Downloads
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Published
2006-12-22
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Special Contributions
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Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows sharing the work with recognition of authorship and initial publication in Antropologia Portuguesa journal.