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Subject
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Autometrics 1 General-so-specific 1 location shifts 1 model section 1 step-indicator saturation 1 test power 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Doornik, Jurgen A. 1 Hendry, David 1 Pretis, Felix 1
Institution
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Department of Economics, Oxford University 1
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Economics Series Working Papers / Department of Economics, Oxford University 1
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RePEc 1
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Step-indicator Saturation
Hendry, David; Doornik, Jurgen A.; Pretis, Felix - Department of Economics, Oxford University - 2013
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...
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