Improved confidence sets for the date of a structural break
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Publication:5861031
DOI10.1080/07474938.2020.1780730zbMath1490.62183OpenAlexW3038806792MaRDI QIDQ5861031
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1780730
Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)
Cites Work
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- Confidence sets for the date of a single break in linear time series regressions
- Optimal changepoint tests for normal linear regression
- Continuous record Laplace-based inference about the break date in structural change models
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Testing for the Constancy of Parameters Over Time
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- 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
- Estimating and Testing Structural Changes in Multivariate Regressions
- A modified confidence set for the structural break date in linear regression models
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
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