A modified confidence set for the structural break date in linear regression models

DOI10.1080/00927872.2016.1178892zbMath1491.62066OpenAlexW2131649473MaRDI QIDQ5860889

Yohei Yamamoto

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26678/070econDP14-08.pdf

zbMATH Keywords

confidence setcoverage ratioheteroskedasticity and autocorrelation consistent covariancenonlocal asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Nonparametric tolerance and confidence regions (62G15)

Related Items (4)

Bootstrap confidence intervals for a break date in linear regressions ⋮ A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ Improved confidence sets for the date of a structural break

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Confidence sets for the date of a single break in linear time series regressions
• Testing for factor loading structural change under common breaks
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Estimating and Testing Linear Models with Multiple Structural Changes
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Confidence sets for the break date based on optimal tests
• Nonmonotonic power for tests of a mean shift in a time series§
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

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