Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
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 th...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Published: |
Elsevier
2016
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/34999/ |
| _version_ | 1848794979242082304 |
|---|---|
| author | Harvey, David I. Leybourne, Stephen J. |
| author_facet | Harvey, David I. Leybourne, Stephen J. |
| author_sort | Harvey, David I. |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:24:47Z |
| format | Article |
| id | nottingham-34999 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:24:47Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-349992020-05-04T17:55:34Z https://eprints.nottingham.ac.uk/34999/ 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. Leybourne, Stephen J. 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. Elsevier 2016-06-22 Article PeerReviewed 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 Level break; Trend break; Stationary; Unit root; Confidence sets http://www.sciencedirect.com/science/article/pii/S0165176516302191 doi:10.1016/j.econlet.2016.06.015 doi:10.1016/j.econlet.2016.06.015 |
| spellingShingle | Level break; Trend break; Stationary; Unit root; Confidence sets Harvey, David I. Leybourne, Stephen J. Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| title | Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| title_full | Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| title_fullStr | Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| title_full_unstemmed | Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| title_short | Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| title_sort | improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown |
| topic | Level break; Trend break; Stationary; Unit root; Confidence sets |
| url | https://eprints.nottingham.ac.uk/34999/ https://eprints.nottingham.ac.uk/34999/ https://eprints.nottingham.ac.uk/34999/ |