Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknownTools Harvey, David I. and Leybourne, Stephen J. (2016) Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown. Economics Letters, 145 . pp. 239245. ISSN 01651765
AbstractHarvey 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, locationdependent 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.
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