Estimating and Testing Linear Models with Multiple Structural Changes
1998/01/01 by Jushan Bai, Pierre Perrón, Pierre Perron · 88 citations
Mathematics · Decision Sciences · #Advanced Statistical Methods and Models #Statistical Methods and Inference #Advanced Statistical Process Monitoring
paper · doi:10.2307/2998540
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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