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

DOI10.1016/j.jeconom.2007.02.001zbMath1418.62317OpenAlexW1973676482MaRDI QIDQ289210

Ulrich K. Müller, Graham Elliott

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/9hf4j4c2

zbMATH Keywords

locally best testcoverage controltest inversion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (25)

Bootstrap confidence intervals for a break date in linear regressions ⋮ ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ Likelihood-ratio-based confidence sets for the timing of structural breaks ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time ⋮ Estimation of a Structural Break Point in Linear Regression Models ⋮ Unnamed Item ⋮ Pre and post break parameter inference ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Regression discontinuity designs, white noise models, and minimax ⋮ New distribution theory for the estimation of structural break point in mean ⋮ Estimating structural changes in regression quantiles ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ Inference after estimation of breaks ⋮ Does modeling a structural break improve forecast accuracy? ⋮ Estimating restricted common structural changes for panel data ⋮ Analyzing cross-validation for forecasting with structural instability ⋮ A modified confidence set for the structural break date in linear regression models ⋮ Improved confidence sets for the date of a structural break ⋮ In-fill asymptotic theory for structural break point in autoregressions ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Size and power of tests of stationarity in highly autocorrelated time series
• Cube root asymptotics
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Likelihood ratio tests for multiple structural changes
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Testing for stationarity with a break
• Optimal changepoint tests for normal linear regression
• Testing for the Presence of a Random Walk in Series with Structural Breaks
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Length of Confidence Intervals
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Confidence regions and tests for a change-point in a sequence of exponential family random variables
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for the Constancy of Parameters Over Time
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Testing a Sequence of Observations for a Shift in Location
• Testing For and Dating Common Breaks in Multivariate Time Series
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Estimating and Testing Linear Models with Multiple Structural Changes
• Sample Splitting and Threshold Estimation
• OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
• End-of-Sample Instability Tests
• Econometric Theory and Practice
• Inference about the change-point in a sequence of random variables

This page was built for publication: Confidence sets for the date of a single break in linear time series regressions