Before revision:  namely, the classical shrinkage asymptotic distribution of Bai and Perron (1998) , or a Bayes-type asymptotic distribution  .
After revision:  namely, the classical shrinkage asymptotic distribution of Bai and Perron (1998) , or a Bayes-type asymptotic distribution . We propose an inference method based on Highest Density Regions using the latter distribution. We show that it has attractive theoretical properties not shared by the other popular alternatives, i.e., it is bet-proof. Simulations con?rm that these theoretical properties translate to better ?nite-sample performance .