Continuous record Laplace-based inference about the break date in structural change models
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Publication:2043251
DOI10.1016/j.jeconom.2020.05.020OpenAlexW3080396415MaRDI QIDQ2043251
Alessandro Casini, Pierre Perron
Publication date: 30 July 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.00232
asymptotic distributionbiasinfill asymptoticssemimartingalechange-pointbreak dategeneralized Laplace
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items
GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time ⋮ Asymptotic properties of Bayesian inference in linear regression with a structural break ⋮ Improved confidence sets for the date of a structural break
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