We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about...

We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about...

We propose an improved method for constructing likelihood-ratio-based confidence intervals for threshold parameters in threshold regressions. Related methods have been extensively developed in the literature and are asymptotically valid. However, their performance in finite samples is not...