Eo, Yunjong; Morley, James C. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 463-497
We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about...