Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
Year of publication: |
August 2016
|
---|---|
Authors: | Harvey, David I. ; Leybourne, Stephen James |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 145.2016, p. 239-245
|
Subject: | Level break | Trend break | Stationary | Unit root | Confidence sets | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Einheitswurzeltest | Unit root test | Schätztheorie | Estimation theory |
-
Confidence sets for the date of a break in level and trend when the order of integration is unknown
Harvey, David I., (2015)
-
Meng, Ming, (2017)
-
GLS estimation and confidence sets for the date of a single break in models with trends
Beutner, Eric, (2023)
- More ...
-
Analysis of a panel of UK macroeconomic forecasts
Harvey, David I., (1999)
-
Forecast evaluation tests in the presence of ARCH
Harvey, David I., (1999)
-
Ranking competing multi-step forecasts
Harvey, David I., (1997)
- More ...