Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown

DOI10.1016/j.econlet.2016.06.015zbMath1400.62177OpenAlexW2469229833MaRDI QIDQ1670214

David I. Harvey, Stephen J. Leybourne

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/34999/

zbMATH Keywords

stationaryunit rootconfidence setstrend breaklevel break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Economic time series analysis (91B84)

Cites Work

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• Confidence sets for the date of a single break in linear time series regressions
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Confidence sets for the date of a break in level and trend when the order of integration is unknown
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Confidence sets for the break date based on optimal tests