Show simple item record

dc.contributor.authorCasini, Alessandroen_US
dc.contributor.authorPerron, Pierreen_US
dc.date.accessioned2018-02-06T03:08:14Z
dc.date.accessioned2019-04-25T20:12:01Z
dc.date.accessioned2020-01-06T19:58:19Z
dc.date.available2018-02-06T03:08:14Z
dc.date.available2019-04-25T20:12:01Z
dc.date.available2020-01-06T19:58:19Z
dc.date.issued2019
dc.identifier.citationAlessandro Casini, Pierre Perron. 2019. "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models."
dc.identifier.urihttps://hdl.handle.net/2144/39047
dc.description.abstractBuilding upon the continuous record asymptotic framework recently introduced by Casini and Perron (2018a) for inference in structural change models, we propose a Laplace-based (Quasi-Bayes) procedure for the construction of the estimate and confidence set for the date of a structural change. It is defined by an integration rather than an optimization-based method.A transformation of the least-squares criterion function is evaluated in order to derive a proper distribution, referred to as the Quasi-posterior. For a given choice of a loss function, the Laplace-type estimator is the minimizer of the expected risk with the expectation taken under the Quasi-posterior. Besides providing an alternative estimate that is more precise—lower mean absolute error (MAE) and lower root-mean squared error (RMSE)—than the usual least-squares one, the Quasi-posterior distribution can be used to construct asymptotically valid inference using the concept of Highest Density Region. The resulting Laplace-based inferential procedure is shown to have lower MAE and RMSE, and the confidence sets strike the best balance between empirical coverage rates and average lengths of the confidence sets relative to traditional long-span methods, whether the break size is small or large.en_US
dc.relation.replaceshttps://hdl.handle.net/2144/26714
dc.relation.replaces2144/26714
dc.relation.replaceshttps://hdl.handle.net/2144/34938
dc.relation.replaces2144/34938
dc.subjectAsymptotic distributionen_US
dc.subjectBiasen_US
dc.subjectBreak dateen_US
dc.subjectChange-pointen_US
dc.subjectGeneralized Laplaceen_US
dc.subjectInfill asymptoticsen_US
dc.subjectSemimartingaleen_US
dc.titleContinuous record Laplace-based inference about the break date in structural change modelsen_US
dc.typeArticleen_US
dc.description.versionFirst author draften_US
dc.relation.isreplacedbydouble48637
pubs.elements-sourcemanual-entryen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, Administrationen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusUnpublisheden_US
dc.identifier.mycv297740


This item appears in the following Collection(s)

Show simple item record