Confidence Sets for the Break Date Based on Optimal Tests

Eiji Kurozumi (), 英司 黒住, Yohei Yamamoto and 庸平 山本

No 2015-01, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: coverage rate; break fraction; hypothesis test; average power (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2015-01-22
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (9)

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Journal Article: Confidence sets for the break date based on optimal tests (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2015-01

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