Confidence Sets for the Break Date in Cointegrating Regressions
Confidence Sets for the Break Date in Cointegrating Regressions
复制标题
协整回归中截止日期的置信度
DOI：
10.1111/obes.12223
复制
发表时间：
2017
影响因子：
2.5
通讯作者：
Skrobotov Anton
中科院分区：
文献类型：
--
作者：
Kurozumi Eiji;Skrobotov Anton
在本文中，我们建议通过反转突破位置的测试来构建协整回归中突破日期的置信集，这是通过最大化功效的加权平均值获得的。结果发现，检验的极限分布取决于系数维持结构变化的 I(1) 回归量的数量以及系数在整个样本中固定的 I(1) 回归量的数量。通过蒙特卡罗模拟，我们发现，与现有方法在收缩偏移假设下基于断点估计器极限分布的置信区间相比，本文提出的置信集具有更准确的覆盖率，而置信集的长度相当。然后，通过使用本文开发的方法，我们研究了俄罗斯宏观经济变量与油价的协整回归。
In this paper, we propose constructing confidence sets for a break date in cointegrating regressions by inverting a test for the break location, which is obtained by maximizing the weighted average of power. It is found that the limiting distribution of the test depends on the number of I(1) regressors whose coefficients sustain structural change and the number of I(1) regressors whose coefficients are fixed throughout the sample. By Monte Carlo simulations, we then show that compared with a confidence interval developed by using the existing method based on the limiting distribution of the break point estimator under the assumption of the shrinking shift, the confidence set proposed in the present paper has a more accurate coverage rate, while the length of the confidence set is comparable. By using the method developed in this paper, we then investigate the cointegrating regressions of Russian macroeconomic variables with oil prices with a break.