Eo, Yunjong and Morley, James C. (2008): LikelihoodBased Confidence Sets for the Timing of Structural Breaks.
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Abstract
In this paper, we propose a new approach to constructing confidence sets for the timing of structural breaks. This approach involves using Markovchain Monte Carlo methods to simulate marginal “fiducial” distributions of break dates from the likelihood function. We compare our proposed approach to asymptotic and bootstrap confidence sets and find that it performs best in terms of producing short confidence sets with accurate coverage rates. Our approach also has the advantages of i) being broadly applicable to different patterns of structural breaks, ii) being computationally efficient, and iii) requiring only the ability to evaluate the likelihood function over parameter values, thus allowing for many possible distributional assumptions for the data. In our application, we investigate the nature and timing of structural breaks in postwar U.S. Real GDP. Based on marginal fiducial distributions, we find much tighter 95% confidence sets for the timing of the socalled “Great Moderation” than has been reported in previous studies.
Item Type:  MPRA Paper 

Original Title:  LikelihoodBased Confidence Sets for the Timing of Structural Breaks 
Language:  English 
Keywords:  Fiducial Inference; Bootstrap Methods; Structural Breaks; Confidence Intervals and Sets; Coverage Accuracy and Expected Length; Markovchain Monte Carlo; 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  10372 
Depositing User:  Yunjong Eo 
Date Deposited:  10. Sep 2008 06:13 
Last Modified:  15. Feb 2013 23:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/10372 
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