Estimating and Testing Linear Models with Multiple Structural Changes

1998/01/01 by Jushan Bai, Pierre Perrón, Pierre Perron · 6,075 citations
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #Advanced Statistical Process Monitoring #Applied mathematics #Econometrics #Mathematics #Statistical Methods and Inference #Statistics

paper · open access · doi:10.2307/2998540

published in Econometrica 66(1), 47 (Wiley)

openalex publication_date 1998/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

This paper develops the statistical theory for testing and estimating multiple change points in regression models. The rate of convergence and limiting distribution for the estimated parameters are obtained. Several test statistics are proposed to determine the existence as well as the number of change points. A partial structural change model is considered. The authors study both fixed and shrinking magnitudes of shifts. In addition, the models allow for serially correlated disturbances (mixingales). An estimation strategy for which the location of the breaks need not be simultaneously determined is discussed. Instead, the authors' method successively estimates each break point.

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