A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models

DOI10.1080/07474938.2015.1122142zbMath1491.62057OpenAlexW2337180133MaRDI QIDQ5862488

Pierre Perron, Seong Yeon Chang

Publication date: 9 March 2022

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

Full work available at URL: http://www.bu.edu/econ/files/2014/05/Perron-A-Comparison-of-Alternative-Methods-Sept-2013.pdf

zbMATH Keywords

bootstrapconfidence intervalstructural changenonmonotonic powerserially correlated errorsdynamic regression modelsinverted likelihood ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (7)

Bootstrap confidence intervals for a break date in linear regressions ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Bootstrapping structural change tests ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ Improved confidence sets for the date of a structural break

Cites Work

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• Likelihood-ratio-based confidence sets for the timing of structural breaks
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• Estimating and Testing Structural Changes in Multivariate Regressions
• Econometric Theory and Practice
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

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