Confidence sets for the break date based on optimal tests
Eiji Kurozumi and
Econometrics Journal, 2015, vol. 18, issue 3, 412-435
In this paper, we propose constructing a confidence set for the date of a one‐time structural change using a point optimal test. Following Elliott and Müller (2007, Journal of Econometrics 141, 1196–1218), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then obtained by inverting the test statistic. We carefully choose the weights and show by Monte Carlo simulations that the confidence set based on our method has a relatively accurate coverage rate, while the length of our confidence set is significantly shorter than the lengths proposed in the literature.
References: Add references at CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Working Paper: Confidence Sets for the Break Date Based on Optimal Tests (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:emjrnl:v:18:y:2015:i:3:p:412-435
Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1111/(ISSN)1368-423X
Access Statistics for this article
Econometrics Journal is currently edited by Jaap Abbring, Victor Chernozhukov, Michael Jansson and Dennis Kristensen
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().