Kim, Chang-jin (contributor); Morley, James C. (contributor) - 2004 - [Elektronische Ressource], rev.
x undergoes a structural break corresponding to a reduction in its
variance. There are two possible sources of the … variance reduction: “shocks” and “propagation”.
To see this, note that the variance of
t
x is
2
2
0
1
)var(
φ
σ
γ …
−
=≡
t
x , (2)
where
2
σ corresponds to the variance of the shocks and
2
φ corresponds to the propagation. A …