Confidence sets for the break date based on optimal tests

DOI10.1111/ECTJ.12055MaRDI QIDQ5091832zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi, Yohei Yamamoto

Publication date 27 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/27032/070econDP15-01.pdf

zbMATH Keywords

average powerbreak fractioncoverage ratehypothesis test

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Confidence sets for the date of a single break in linear time series regressions
• Confidence Sets for the Date of a Structural Change at the End of a Sample
• Improved confidence sets for the date of a structural break
• Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
• Confidence sets for the date of a break in level and trend when the order of integration is unknown

Cited in

(9)

• Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
• Confidence sets for the date of a break in level and trend when the order of integration is unknown
• Confidence sets for the date of a single break in linear time series regressions
• Confidence Sets for the Date of a Structural Change at the End of a Sample
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• scientific article; zbMATH DE number 7387535 (Why is no real title available?)
• A modified confidence set for the structural break date in linear regression models
• Improved confidence sets for the date of a structural break
• A confidence interval test for the detection of structural breaks

This page was built for publication: Confidence sets for the break date based on optimal tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5091832)