Continuous record Laplace-based inference about the break date in structural change models

نویسندگان

چکیده

Building upon the continuous record asymptotic framework recently introduced by Casini and Perron (2020a) for inference in structural change models, we propose a Laplace-based (Quasi-Bayes) procedure construction of estimate confidence set date change. It is defined an integration rather than optimization-based method. A transformation least-squares criterion function evaluated order to derive proper distribution, referred as Quasi-posterior. For given choice loss function, Laplace-type estimator minimizer expected risk with expectation taken under Besides providing alternative that more precise—lower mean absolute error (MAE) lower root-mean squared (RMSE)—than usual one, Quasi-posterior distribution can be used construct asymptotically valid using concept Highest Density Region. The resulting inferential shown have MAE RMSE, sets strike better balance between empirical coverage rates average lengths relative traditional long-span methods, whether break size small or large.

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ژورنال

عنوان ژورنال: Journal of Econometrics

سال: 2021

ISSN: ['1872-6895', '0304-4076']

DOI: https://doi.org/10.1016/j.jeconom.2020.05.020