Working paper
Step-indicator saturation
- Abstract:
- Using an extension of general-to-specific modelling, based on the recent developments of impulse-indicator saturation (IIS), we consider selecting significant step indicators from a saturating set to capture location shifts. The approximate non-centrality of the test is derived for a variety of shifts using a 'split-half' analysis, the simplest specialization of a multiple-block search algorithm. Monte Carlo simulations confirm the accuracy of the nominal significance levels under the null, and show rejections when location shifts occur, improving in non-null rejection frequency compared to the corresponding IIS-based and to Chow (1960) tests.
- Publication status:
- Published
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(Preview, Version of record, pdf, 352.1KB, Terms of use)
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Authors
- Publisher:
- University of Oxford
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2013-06-06
- Paper number:
- 658
- Keywords:
- Pubs id:
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514521
- Local pid:
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pubs:514521
- Deposit date:
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2020-12-14
- ARK identifier:
Terms of use
- Copyright date:
- 2013
- Rights statement:
- Copyright 2013 The Author(s)
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