Confidence Sets for the Break Date Based on Optimal Tests
Confidence Sets for the Break Date Based on Optimal Tests
复制标题
基于最佳测试的中断日期置信度设置
DOI：
10.1111/ectj.12055
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发表时间：
2015
影响因子：
1.9
通讯作者：
Eiji Kurozumi and Yohei Yamamoto
中科院分区：
文献类型：
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作者：
Kaddour Hadri;Eiji Kurozumi and Yao Rao;亀山 康子;中川 丈久;河村和徳;近藤正基（共著）;本名純;菊池努ほか;国友直人・山本拓 共編;田中秀夫;Eiji Kurozumi and Yohei Yamamoto
在本文中，我们建议使用点最优检验为一次性结构变化的日期构建置信集。根据Elliott和Müller（2007，Journal of Econometrics 141，1196-1218），我们首先构建了一个检验，用于最大化幂函数的加权平均值。然后通过反转检验统计量来获得置信集。我们仔细选择的权重，并通过Monte Carlo模拟表明，基于我们的方法的置信集具有相对准确的覆盖率，而我们的置信集的长度是显着短于文献中提出的长度。
In this paper, we propose constructing a confidence set for the date of a one‐time structural change using a point optimal test. Following Elliott and Müller (2007,Journal of Econometrics 141, 1196–1218), 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.