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Estimating and Testing Linear Models with Multiple Structural Changes

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  • Perron, P.
  • Bai, J.

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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File URL: http://hdl.handle.net/1866/2019
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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9552.

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Length: 56 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:mtl:montde:9552

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