EconPapers    
Economics at your fingertips  
 

Improved confidence sets for the date of a structural break

Daisuke Yamazaki

Econometric Reviews, 2021, vol. 40, issue 3, 257-289

Abstract: Prior studies have proposed constructing confidence sets for the break date by inverting a sequence of tests for the date of a structural break. In this study, we improve these confidence sets by taking the direction of the break into account. Even when the break direction is unknown, we can consistently estimate it, enabling us to use the proposed method. Simulation results show that the proposed method effectively reduces the length of the confidence sets, while maintaining a good coverage rate. An empirical example illustrates the usefulness of the proposed method.

Date: 2021
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2020.1780730 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:40:y:2021:i:3:p:257-289

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2020.1780730

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

 
Page updated 2021-05-16
Handle: RePEc:taf:emetrv:v:40:y:2021:i:3:p:257-289