2015年10月
Confidence sets for the break date based on optimal tests
ECONOMETRICS JOURNAL
- ,
- 巻
- 18
- 号
- 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
- ID情報
-
- DOI : 10.1111/ectj.12055
- ISSN : 1368-4221
- eISSN : 1368-423X
- Web of Science ID : WOS:000369084900004