کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095805 | 1376485 | 2015 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Confidence sets for the date of a break in level and trend when the order of integration is unknown
ترجمه فارسی عنوان
اعتماد به تاریخ وقفه در سطح و روند زمانی که نظم ادغام ناشناخته است، مجموعه می شود
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We separately derive locally best invariant tests for the I(0) and I(1) cases; under their respective assumptions, the resulting confidence sets provide correct asymptotic coverage regardless of the magnitude of the break. We suggest use of a pre-test procedure to select between the I(0)- and I(1)-based confidence sets, and Monte Carlo evidence demonstrates that our recommended procedure achieves good finite sample properties in terms of coverage and length across both I(0) and I(1) environments. An application using US macroeconomic data is provided which further evinces the value of these procedures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 184, Issue 2, February 2015, Pages 262-279
Journal: Journal of Econometrics - Volume 184, Issue 2, February 2015, Pages 262-279
نویسندگان
David I. Harvey, Stephen J. Leybourne,