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

David Harvey and Stephen Leybourne ()

Economics Letters, 2016, vol. 145, issue C, 239-245

Abstract: Harvey and Leybourne (2015) construct confidence sets for the timing of a break in level and/or trend, based on inverting sequences of test statistics for a break at all possible dates. These are valid, in the sense of yielding correct asymptotic coverage, for I(0) or I(1) errors. In constructing the tests, location-dependent weights are chosen for values of the break magnitude parameter such that each test conveniently has the same limit null distribution. By not imposing such a scheme, we show that it is generally possible to significantly shorten the length of the confidence sets, whilst maintaining accurate coverage properties.

Keywords: Level break; Trend break; Stationary; Unit root; Confidence sets (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176516302191
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:239-245

DOI: 10.1016/j.econlet.2016.06.015

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().