論文

査読有り
2015年10月

Confidence sets for the break date based on optimal tests

ECONOMETRICS JOURNAL
  • Eiji Kurozumi
  • ,
  • Yohei Yamamoto

18
3
開始ページ
412
終了ページ
435
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1111/ectj.12055
出版者・発行元
WILEY-BLACKWELL

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 Muller (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.

リンク情報
DOI
https://doi.org/10.1111/ectj.12055
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000369084900004&DestApp=WOS_CPL
ID情報
  • DOI : 10.1111/ectj.12055
  • ISSN : 1368-4221
  • eISSN : 1368-423X
  • Web of Science ID : WOS:000369084900004

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