Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
(2016)
Journal Article
Harvey, D. I., & Leybourne, S. J. (in press). Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown. Economics Letters, 145, https://doi.org/10.1016/j.econlet.2016.06.015
Harvey and Leybourne (2015) construct confidence sets for the timing of a break in level and/or trend, based on inverting sequences of test statistics for a break at all possible dates. These are valid, in the sense of yielding correct asymptotic cov... Read More about Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown.