Search Results - subject:"Coverage rate"

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Revisiting empirical studies on the liquidity effect : an identication-robust approach

Doko Tchatoka, Firmin; Slinger, Lauren; Masson, Virginie - 2020

Persistent link: https://www.econbiz.de/10012426264

Confidence sets for the date of a mean shift at the end of a sample

Kurozumi, Eiji - 2017

Persistent link: https://www.econbiz.de/10011962352

Confidence sets for the break date in cointegrating regressions

Kurozumi, Eiji; Skrobotov, Anton - 2016

Persistent link: https://www.econbiz.de/10011549903

Confidence Sets for the Break Date Based on Optimal Tests

KUROZUMI, Eiji; YAMAMOTO, Yohei - Graduate School of Economics, Hitotsubashi University - 2015

weights and show by Monte Carlo simulations that the confidence set based on our method has a relatively accurate coverage … rate, while the length of our confidence set is significantly shorter than the lengths proposed in the literature. …

Persistent link: https://www.econbiz.de/10011166884

Confidence sets for the break date based on optimal tests

Kurozumi, Eiji; Yamamoto, Yohei - 2015

Persistent link: https://www.econbiz.de/10011349992