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On Methods for Constructing Confidence Sets for the Break Dates

Anton Skrobotov – Research fellow of the Mathematical Modeling of Economic Processes Department, Institute for Applied Economic Studies, Russian Presidential Academy of National Economy and Public Administration. E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Andrey Polbin – Head of Mathematical Modeling of Economic Processes Department, Institute for Applied Economic Studies, Russian Presidential Academy of National Economy and Public Administration; Head of Macroeconomic Modeling Department of the Gaidar Institute, Candidate of Economic Sciences. E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

The paper reviews the methods of construction of confidence sets for the break dates in time series. The paper consider both the tests based on limiting distribution of break fraction and based on inverting of the test statistic for the break date. The considered methods are applied to the Russian GDP.

Key words: structural breaks, confidence sets, Russian GDP.