A Modified Confidence Set for the Structural Break Date in Linear Regression Models

Yohei Yamamoto and 庸平 山本

No 2014-08, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: coverage ratio; nonlocal asymptotics; heteroskedasticity and autocorrelation consistent covariance; condence set (search for similar items in EconPapers)
JEL-codes: C12 C38 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014-05-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: A modified confidence set for the structural break date in linear regression models (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2014-08

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