Improved confidence sets for the date of a structural break

DOI10.1080/07474938.2020.1780730MaRDI QIDQ5861031zbMATH OpenOpenAlexFDO

Authors Daisuke Yamazaki

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2020.1780730

zbMATH Keywords

break directionconfidence setcoverage rate

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• A modified confidence set for the structural break date in linear regression models
• Confidence sets for the break date based on optimal tests
• 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
• Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown

Cites work

• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• A modified confidence set for the structural break date in linear regression models
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Confidence sets for the break date based on optimal tests
• 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
• Continuous record Laplace-based inference about the break date in structural change models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and Testing Structural Changes in Multivariate Regressions
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Optimal changepoint tests for normal linear regression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Testing for the Constancy of Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(4)

• 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 Structural Change at the End of a Sample
• Confidence sets for the break date based on optimal tests
• A modified confidence set for the structural break date in linear regression models

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