Confidence sets for the break date based on optimal tests

DOI10.1111/ectj.12055OpenAlexW2140529718MaRDI QIDQ5091832

Yohei Yamamoto, Eiji Kurozumi

Publication date: 27 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/27032/070econDP15-01.pdf

zbMATH Keywords

hypothesis testaverage powercoverage ratebreak fraction

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ Unnamed Item ⋮ A modified confidence set for the structural break date in linear regression models ⋮ Improved confidence sets for the date of a structural break

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