GLS estimation and confidence sets for the date of a single break in models with trends

Autor: Eric Beutner, Yicong Lin, Stephan Smeekes

Publikováno v: Econometric Reviews, 42(2), 195-219. Taylor and Francis Ltd.
Beutner, E, Lin, Y & Smeekes, S 2023, ' GLS estimation and confidence sets for the date of a single break in models with trends ', Econometric Reviews, vol. 42, no. 2, pp. 195-219 . https://doi.org/10.1080/07474938.2023.2178088
Vrije Universiteit Amsterdam
Econometric Reviews, 42(2), 195-219. Routledge/Taylor & Francis Group

We develop a Feasible Generalized Least Squares estimator of the date of a structural break in level and/or trend. The estimator is based on a consistent estimate of a T-dimensional inverse autocovariance matrix. A cubic polynomial transformation of

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https://research.vu.nl/en/publications/7923ad8c-7074-4390-bfd2-af6fe1c819df