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In this paper, we propose constructing a confidence set for the date of a one‐time structural change using a point optimal test. Following Elliott and Müller (2007, Journal of Econometrics 141, 1196–1218), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then obtained by inverting the test statistic. We carefully choose the...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.