Jump to ContentJump to Main Navigation
Empirical Model Discovery and Theory EvaluationAutomatic Selection Methods in Econometrics$
Users without a subscription are not able to see the full content.

David F. Hendry and Jurgen A. Doornik

Print publication date: 2014

Print ISBN-13: 9780262028356

Published to MIT Press Scholarship Online: January 2015

DOI: 10.7551/mitpress/9780262028356.001.0001

Show Summary Details
Page of

PRINTED FROM MIT PRESS SCHOLARSHIP ONLINE (www.mitpress.universitypressscholarship.com). (c) Copyright The MIT Press, 2022. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in MITSO for personal use.date: 03 July 2022

Impulse-Indicator Saturation for Multiple Breaks

Impulse-Indicator Saturation for Multiple Breaks

Chapter:
(p.243) 20 Impulse-indicator Saturation for Multiple Breaks
Source:
Empirical Model Discovery and Theory Evaluation
Author(s):

David F. Hendry

Publisher:
The MIT Press
DOI:10.7551/mitpress/9780262028356.003.0020

Chapter 15 considered the theory and practice of IIS, to show that the cost of applying that approach under the null of no outliers or breaks was low at reasonably tight significance levels. A pilot Monte Carlo illustrated its ability to detect outliers and breaks. Chapter 19 discussed the algorithm in Autometrics for implementing IIS together with selecting variables. Since the objective of IIS is to detect and help model breaks, in this chapter, we extend the range of experiments from D1–D3 considered earlier. A variety of breaks is examined, from a single start or end of sample location shift, through blocks of five 4-period shifts to 20 location shifts spread across a sample of T = 100. When there is more than a single break, a failure to detect one increases the residual variance and so lowers the probability of detecting any others. Consequently, potency is low for small shifts, but rises quickly with the break magnitude, even in dynamic models.

Keywords:   Multiple breaks, impulse-indicator saturation, potency

MIT Press Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs, and if you can't find the answer there, please contact us.