A modified confidence set for the structural break date in linear regression models

DOI10.1080/00927872.2016.1178892MaRDI QIDQ5860889zbMATH OpenOpenAlexFDO

Authors Yohei Yamamoto

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26678/070econDP14-08.pdf

zbMATH Keywords

confidence setcoverage ratioheteroskedasticity and autocorrelation consistent covariancenonlocal asymptotics

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Improved confidence sets for the date of a structural break
• Confidence Sets for the Date of a Structural Change at the End of a Sample
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• Confidence sets for the date of a single break in linear time series regressions
• Confidence sets for the break date based on optimal tests

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• 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 single break in linear time series regressions
• Estimating and Testing Linear Models with Multiple Structural Changes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Nonmonotonic power for tests of a mean shift in a time series§
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Testing for factor loading structural change under common breaks

Cited in

(7)

• 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
• Bootstrap confidence intervals for a break date in linear regressions
• Improved confidence sets for the date of a structural break
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators
• GLS estimation and confidence sets for the date of a single break in models with trends

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