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Identifier to cite or link to this item: https://hdl.handle.net/10086/27032

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Title
Confidence Sets for the Break Date Based on Optimal Tests
Creator
Creator Name
KUROZUMI, Eiji KUROZUMI, Eiji
黒住, 英司 黒住, 英司
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
YAMAMOTO, Yohei YAMAMOTO, Yohei
山本, 庸平 山本, 庸平
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
coverage rate
break fraction
hypothesis test
average power
JEL
C12
C22
Abstract (distribution restricted)
This study proposes constructing a confidence set for the date of a one-time structural change using a point optimal test. Following Elliott and Müller (2007), 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.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2015-01-22
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2015-01
Number of Pages
22
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/27032