Critical values for multiple structural change tests

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ID: 304296
2003
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Abstract
Bai and Perron (1998), henceforth BP, considered estimating multiple structural changes in a linear model. The results are obtained under a general framework of partial structural changes which allows a subset of the parameters not to change.1 Methods to efficiently compute estimates are discussed in Bai and Perron (2003). BP also addressed the problem of testing for multiple structural changes under very general conditions on the data and the errors: they considered a type test for the null hypothesis of no change vs. a pre-specified number of changes and also vs. an alternative of an arbitrary number of changes (up to some maximum), as well as a procedure that allows one to test the null hypothesis of, say, I changes, vs. the alternative hypothesis of I + 1 changes. The latter is particularly useful in that it allows a specific to general modeling strategy to consistently determine the appropriate number of changes in the data. The tests can be constructed allowing different serial correlation in the errors, different distribution for the data and the errors across segments or imposing a common structure.
Reference Key
openalex_W2163937387 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Jushan Bai, Pierre Perrón
Journal econometrics journal
Year 2003
DOI
10.1111/1368-423x.00102
URL
https://doi.org/10.1111/1368-423x.00102
Keywords Keywords not found

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