Improved confidence sets for the date of a structural break
提出一种考虑断点方向的方法来构建结构断点日期的置信集，即使方向未知也可一致估计，模拟显示能缩短置信集长度并保持良好覆盖率。
Prior studies have proposed constructing confidence sets for the break date by inverting a sequence of tests for the date of a structural break. In this study, we improve these confidence sets by taking the direction of the break into account. Even when the break direction is unknown, we can consistently estimate it, enabling us to use the proposed method. Simulation results show that the proposed method effectively reduces the length of the confidence sets, while maintaining a good coverage rate. An empirical example illustrates the usefulness of the proposed method.