Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments

2025/07/29 by Boldea, Otilia, Hall, Alastair R.
#Econometrics (econ.EM) #FOS: Economics and business

paper · doi:10.48550/arxiv.2507.22204

Abstract

We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it focuses on inference about the change-points in slope parameters, rather than in the mean of the dependent variable - the latter being common in the statistical literature; (2) it focuses on detecting - via sequential testing and other methods - multiple change-points, and only discusses one change-point when methods for multiple change-points are not available; (3) it is meant as a practitioner's guide for empirical macroeconomists first, and as a result, it focuses only on the methods derived under the most general assumptions relevant to macroeconomic applications.

Citations

• Change-Point Detection in Time Series Using Mixed Integer Programming
• Efficient two-sample instrumental variable estimators with change points and near-weak identification
• Panel Data Models with Time-Varying Latent Group Structures
• Inference for Local Projections
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• Structural Breaks in Interactive Effects Panels and the Stock Market\n Reaction to COVID-19
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• Structural Breaks in Time Series
• Heterogeneous structural breaks in panel data models
• Testing for a Threshold in Models with Endogenous Regressors
• Multiple Change-point Detection: a Selective Overview
• Multiple Change-Point Detection: A Selective Overview
• Detection of multiple structural breaks in multivariate time series
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Structural Break Estimation for Nonstationary Time Series Models
• Computation and analysis of multiple structural change models
• Estimating and Testing Linear Models with Multiple Structural Changes

Related

• Change Point Estimation in Panel Data with Time-Varying Individual Effects
• A Comparison of Single and Multiple Changepoint Techniques for Time Series Data
• Estimating and Testing Linear Models with Multiple Structural Changes
• Multiple change-points detection based on U-Statistics under weak dependence
• Monitoring structural change in dynamic econometric models