GLS estimation and confidence sets for the date of a single break in models with trends
| Autor: | Eric Beutner, Yicong Lin, Stephan Smeekes |
|---|---|
| Přispěvatelé: | Econometrics and Data Science, Tinbergen Institute, QE Econometrics, RS: GSBE other - not theme-related research, RS: FSE DACS Mathematics Centre Maastricht |
| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | 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 |
| ISSN: | 0747-4938 |
| DOI: | 10.1080/07474938.2023.2178088 |
| Popis: | 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 break date estimates can be approximated by a nonstandard yet nuisance parameter free distribution asymptotically. The new limiting distribution captures the asymmetry and bimodality in finite samples and is applicable for inference with a single, known, set of critical values. We consider the confidence intervals/sets for break dates based on both Wald-type tests and by inverting multiple likelihood ratio (LR) tests. A simulation study shows that the proposed estimator increases the empirical concentration probability in a small neighborhood of the true break date and potentially reduces the mean squared errors. The LR-based confidence intervals/sets have good coverage while maintaining informative length even with highly persistent errors and small break sizes. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|