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

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. 239-245. ISSN 0165-1765

[img] PDF - Repository staff only until 23 December 2017. - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Available under Licence Creative Commons Attribution Non-commercial No Derivatives.
Download (197kB)

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.

Item Type: Article
Keywords: Level break; Trend break; Stationary; Unit root; Confidence sets
Schools/Departments: University of Nottingham UK Campus > Faculty of Social Sciences > School of Economics
Identification Number: https://doi.org/10.1016/j.econlet.2016.06.015
Depositing User: Eprints, Support
Date Deposited: 14 Jul 2016 08:15
Last Modified: 26 Sep 2016 15:07
URI: http://eprints.nottingham.ac.uk/id/eprint/34999

Actions (Archive Staff Only)

Edit View Edit View