Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 145
Issue: C
Pages: 239-245

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Harvey and Leybourne (2015) construct confidence sets for the timing of a break in level and/or trend, based on inverting sequences of test statistics for a break at all possible dates. These are valid, in the sense of yielding correct asymptotic coverage, for I(0) or I(1) errors. In constructing the tests, location-dependent weights are chosen for values of the break magnitude parameter such that each test conveniently has the same limit null distribution. By not imposing such a scheme, we show that it is generally possible to significantly shorten the length of the confidence sets, whilst maintaining accurate coverage properties.

Technical Details

RePEc Handle
repec:eee:ecolet:v:145:y:2016:i:c:p:239-245
Journal Field
General
Author Count
2
Added to Database
2026-01-25