Generalized Laplace Inference in Multiple Change-Points Models

Alessandro Casini and Pierre Perron

Papers from arXiv.org

Abstract: Under the classical long-span asymptotic framework we develop a class of Generalized Laplace (GL) inference methods for the change-point dates in a linear time series regression model with multiple structural changes analyzed in, e.g., Bai and Perron (1998). The GL estimator is defined by an integration rather than optimization-based method and relies on the least-squares criterion function. It is interpreted as a classical (non-Bayesian) estimator and the inference methods proposed retain a frequentist interpretation. This approach provides a better approximation about the uncertainty in the data of the change-points relative to existing methods. On the theoretical side, depending on some input (smoothing) parameter, the class of GL estimators exhibits a dual limiting distribution; namely, the classical shrinkage asymptotic distribution, or a Bayes-type asymptotic distribution. We propose an inference method based on Highest Density Regions using the latter distribution. We show that it has attractive theoretical properties not shared by the other popular alternatives, i.e., it is bet-proof. Simulations confirm that these theoretical properties translate to better finite-sample performance.

Date: 2018-03, Revised 2021-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in Econom. Theory 38 (2022) 35-65

Downloads: (external link)
http://arxiv.org/pdf/1803.10871 Latest version (application/pdf)

Related works:
Journal Article: GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS (2022)
Working Paper: Generalized Laplace Inference in Multiple Change-Points Models (2020)
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:arx:papers:1803.10871

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().