arXiv 18 Jan 2022 · Econometrics · publishedJournal of Econometrics (2022) · 4 citations (OpenAlex)
arXiv:2201.07319 · PDF · DOI · OpenAlex · Extracted main text
This paper studies large sample properties of a Bayesian approach to inference about slope parameters $\gamma$ in linear regression models with a structural break. In contrast to the conventional approach to inference about $\gamma$ that does not take into account the uncertainty of the unknown break location $\tau$, the Bayesian approach that we consider incorporates such uncertainty. Our main theoretical contribution is a Bernstein-von Mises type theorem (Bayesian asymptotic normality) for $\gamma$ under a wide class of priors, which essentially indicates an asymptotic equivalence between the conventional frequentist and Bayesian inference. Consequently, a frequentist researcher could look at credible intervals of $\gamma$ to check robustness with respect to the uncertainty of $\tau$. Simulation studies show that the conventional confidence intervals of $\gamma$ tend to undercover in finite samples whereas the credible intervals offer more reasonable coverages in general. As the sample size increases, the two methods coincide, as predicted from our theoretical conclusion. Using data from Paye and Timmermann (2006) on stock return prediction, we illustrate that the traditional confidence intervals on $\gamma$ might underrepresent the true sampling uncertainty.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | bai1997 APACrefauthors Bai, J. APACrefauthors \ (1997) 1997 | 0.950 | 14 | 6 | 86% |
| 2 | baek2021 APACrefauthors Baek, Y. APACrefauthors \ (2021) 2021 | 0.928 | 4 | 4 | 100% |
| 3 | casini_perron2021continuous APACrefauthors Casini, A. \ Perron, P. A… (2021) 2021 | 0.928 | 4 | 3 | 100% |
| 4 | eo_morley2015 APACrefauthors Eo, Y. \ Morley, J. APACrefauthors \ (2015) 2015 | 0.874 | 6 | 2 | 100% |
| 5 | paye_timmermann2006 APACrefauthors Paye, B S. \ Timmermann, A. APACr… (2006) 2006 | 0.811 | 4 | 2 | 100% |
| 6 | hong_preston2012 APACrefauthors Hong, H. \ Preston, B. APACrefauthor… (2012) 2012 | 0.644 | 4 | 2 | 50% |
| 7 | perron2006 APACrefauthors Perron, P. APACrefauthors \ (2006) 2006 | 0.644 | 2 | 2 | 100% |
| 8 | qu_perron2007 APACrefauthors Qu, Z. \ Perron, P. APACrefauthors \ (2007) 2007 | 0.644 | 2 | 2 | 100% |
| 9 | bai_perron1998 APACrefauthors Bai, J. \ Perron, P. APACrefauthors \ (1998) 1998 | 0.405 | 1 | 1 | 100% |
| 10 | bai_perron2003 APACrefauthors Bai, J. \ Perron, P. APACrefauthors \ (2003) 2003 | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 15 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models | 0.405 | 1 | 1 |