{"title":"Confidence sets for the break date based on optimal tests","authors":"Eiji Kurozumi, Yohei Yamamoto","doi":"10.1111/ectj.12055","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>In this paper, we propose constructing a confidence set for the date of a one-time structural change using a point optimal test. Following Elliott and Müller (2007, <i>Journal of Econometrics 141</i>, 1196–1218), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then obtained by inverting the test statistic. We carefully choose the weights and show by Monte Carlo simulations that the confidence set based on our method has a relatively accurate coverage rate, while the length of our confidence set is significantly shorter than the lengths proposed in the literature.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2015-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12055","citationCount":"12","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics Journal","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/ectj.12055","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 12
Abstract
In this paper, we propose constructing a confidence set for the date of a one-time structural change using a point optimal test. Following Elliott and Müller (2007, Journal of Econometrics 141, 1196–1218), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then obtained by inverting the test statistic. We carefully choose the weights and show by Monte Carlo simulations that the confidence set based on our method has a relatively accurate coverage rate, while the length of our confidence set is significantly shorter than the lengths proposed in the literature.
期刊介绍:
The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.