基于最佳测试的中断日期置信度集

IF 2.9 4区经济学 Q1 ECONOMICS Econometrics Journal Pub Date : 2015-09-24 DOI:10.1111/ectj.12055

Eiji Kurozumi, Yohei Yamamoto

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引用次数: 12

摘要

在本文中，我们提出构造一个置信集的日期为一次性结构变化使用点最优测试。继Elliott和m ller (2007, Journal of Econometrics 141, 1196-1218)之后，我们首先构建了一个检验，该检验可以最大化幂函数的加权平均值。然后通过反转检验统计量获得置信集。我们仔细选择了权重，并通过蒙特卡罗模拟表明，基于我们方法的置信集具有相对准确的覆盖率，而我们的置信集长度明显短于文献中提出的长度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Confidence sets for the break date based on optimal tests

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.

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来源期刊

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.