A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models (Q5862488): Difference between revisions

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scientific article; zbMATH DE number 7486305

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English	A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models	scientific article; zbMATH DE number 7486305

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instance of

scholarly article

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title

A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models (English)

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9 March 2022

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full work available at URL

http://www.bu.edu/econ/files/2014/05/Perron-A-Comparison-of-Alternative-Methods-Sept-2013.pdf

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zbMATH Keywords

bootstrap

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confidence interval

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dynamic regression models

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inverted likelihood ratio

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nonmonotonic power

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serially correlated errors

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structural change

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MaRDI profile type

MaRDI publication profile

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cites work

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

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Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

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LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

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Estimating and Testing Linear Models with Multiple Structural Changes

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Econometric Theory and Practice

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Time series: theory and methods.

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Moving-average representation of autoregressive approximations

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Sieve bootstrap for time series

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The wild bootstrap, tamed at last

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A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

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Efficient Tests for General Persistent Time Variation in Regression Coefficients

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Confidence sets for the date of a single break in linear time series regressions

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Likelihood-ratio-based confidence sets for the timing of structural breaks

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Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope

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Bootstrap procedures under some non-i.i.d. models

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Testing for the Constancy of Parameters Over Time

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Estimating restricted structural change models

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On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

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Estimating and testing multiple structural changes in linear models using band spectral regressions

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A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

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Estimating and Testing Structural Changes in Multivariate Regressions

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Asymptotically efficient selection of the order of the model for estimating parameters of a linear process

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Confidence Sets in Change-Point Problems

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Identifiers

zbMATH Open document ID

1491.62057

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DOI

10.1080/07474938.2015.1122142

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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@@ Property / cites work @@
+Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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@@ Property / cites work @@
+LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
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@@ Property / cites work @@
+Estimating and Testing Linear Models with Multiple Structural Changes
+Normal rank
@@ Property / cites work @@
+Econometric Theory and Practice
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+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Moving-average representation of autoregressive approximations
+Normal rank
@@ Property / cites work @@
+Sieve bootstrap for time series
@@ Property / cites work: Sieve bootstrap for time series / rank @@
+Normal rank
@@ Property / cites work @@
+The wild bootstrap, tamed at last
@@ Property / cites work: The wild bootstrap, tamed at last / rank @@
+Normal rank
@@ Property / cites work @@
+A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
+Normal rank
@@ Property / cites work @@
+Efficient Tests for General Persistent Time Variation in Regression Coefficients
+Normal rank
@@ Property / cites work @@
+Confidence sets for the date of a single break in linear time series regressions
+Normal rank
@@ Property / cites work @@
+Likelihood-ratio-based confidence sets for the timing of structural breaks
+Normal rank
@@ Property / cites work @@
+Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
+Normal rank
@@ Property / cites work @@
+Bootstrap procedures under some non-i.i.d. models
@@ Property / cites work: Bootstrap procedures under some non-i.i.d. models / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for the Constancy of Parameters Over Time
@@ Property / cites work: Testing for the Constancy of Parameters Over Time / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating restricted structural change models
@@ Property / cites work: Estimating restricted structural change models / rank @@
+Normal rank
@@ Property / cites work @@
+On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
+Normal rank
@@ Property / cites work @@
+Estimating and testing multiple structural changes in linear models using band spectral regressions
+Normal rank
@@ Property / cites work @@
+A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
+Normal rank
@@ Property / cites work @@
+Estimating and Testing Structural Changes in Multivariate Regressions
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
+Normal rank
@@ Property / cites work @@
+Confidence Sets in Change-Point Problems
@@ Property / cites work: Confidence Sets in Change-Point Problems / rank @@
+Normal rank
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