Construction of Confidence Sets for the Break Date in Regression Models with Non-homogeneous Regressors

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  • 非斉次な説明変数を持つ回帰モデルにおける構造変化点の信頼領域の構築
  • 日本統計学会研究業績賞受賞者特別寄稿論文 非斉次な説明変数を持つ回帰モデルにおける構造変化点の信頼領域の構築
  • ニホン トウケイ ガッカイ ケンキュウ ギョウセキショウ ジュショウシャ トクベツ キコウ ロンブン ヒセイジ ナ セツメイ ヘンスウ オ モツ カイキ モデル ニ オケル コウゾウ ヘンカテン ノ シンライ リョウイキ ノ コウチク

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Abstract

<p>This paper proposes constructing the confidence sets for the break date in linear regression models with non-homogeneous regressors. We first derive optimal tests for the location of the break date and then construct the confidence sets by inverting the tests. It turns out that, in general, the asymptotic distributions of the test statistics for the location of the break date depend on nuisance parameters, the moments of the non-homogeneous regressors, but we propose the solution to this problem when a linear trend is only the non-homogeneous regressor. The method proposed in the paper works well in finite samples in that the empirical coverage rates are close to the nominal confidence level and thus our method is practically useful.</p>

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