Before revision: Building upon the continuous record asymptotic framework recently introduced by Casini and Perron ( 2017a ) for inference in structural change models, we propose a Laplace-based (Quasi-Bayes) procedure for the construction of the estimate and confidence set for the date of a structural change.
After revision: Building upon the continuous record asymptotic framework recently introduced by Casini and Perron ( 2018a ) for inference in structural change models, we propose a Laplace-based (Quasi-Bayes) procedure for the construction of the estimate and confidence set for the date of a structural change.