{"title":"基于最佳测试的中断日期置信度集","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":2,"journal":{"name":"ACS Applied Bio Materials","volume":null,"pages":null},"PeriodicalIF":4.6000,"publicationDate":"2015-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12055","citationCount":"12","resultStr":"{\"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\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.6000,\"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\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/ectj.12055\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/ectj.12055","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
引用次数: 12
摘要
在本文中，我们提出构造一个置信集的日期为一次性结构变化使用点最优测试。继Elliott和m ller (2007, Journal of Econometrics 141, 1196-1218)之后，我们首先构建了一个检验，该检验可以最大化幂函数的加权平均值。然后通过反转检验统计量获得置信集。我们仔细选择了权重，并通过蒙特卡罗模拟表明，基于我们方法的置信集具有相对准确的覆盖率，而我们的置信集长度明显短于文献中提出的长度。
Confidence sets for the break date based on optimal tests
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.
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