کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097149 | 1376572 | 2007 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Confidence sets for the date of a single break in linear time series regressions
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper considers the problem of constructing confidence sets for the date of a single break in a linear time series regression. We establish analytically and by small sample simulation that the current standard method in econometrics for constructing such confidence intervals has a coverage rate far below nominal levels when breaks are of moderate magnitude. Given that breaks of moderate magnitude are a theoretically and empirically relevant phenomenon, we proceed to develop an appropriate alternative. We suggest constructing confidence sets by inverting a sequence of tests. Each of the tests maintains a specific break date under the null hypothesis, and rejects when a break occurs elsewhere. By inverting a certain variant of a locally best invariant test, we ensure that the asymptotic critical value does not depend on the maintained break date. A valid confidence set can hence be obtained by assessing which of the sequence of test statistics exceeds a single number.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 141, Issue 2, December 2007, Pages 1196-1218
Journal: Journal of Econometrics - Volume 141, Issue 2, December 2007, Pages 1196-1218
نویسندگان
Graham Elliott, Ulrich K. Müller,