Confidence Sets for the Date of a Structural Change at the End of a Sample

DOI10.1111/JTSA.12404MaRDI QIDQ4556514zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi

Publication date 16 November 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12404

zbMATH Keywords

coverage ratestructural changesubsampling method

Mathematics Subject Classification ID

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

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Cited in

(8)

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• 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
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Confidence sets for the break date based on optimal tests
• A modified confidence set for the structural break date in linear regression models
• Improved confidence sets for the date of a structural break
• Testing for changes in linear models using weighted residuals

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