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Modelling structural change using broken sticks

Author

Listed:
  • Don Webber

    (School of Economics, University of the West of England, Bristol)

  • Paul White

    (Department of Mathematics and Statistics, University of the West of England, Bristol, UK)

  • Angela Helvin

    (Department of Mathematics and Statistics, University of the West of England, Bristol, UK)

Abstract

This paper presents a “broken stick” method to test for structural breaks in a regression model. The method is illustrated using output data across the EU and the results are bootstrapped to identify statistical significance.

Suggested Citation

  • Don Webber & Paul White & Angela Helvin, 2008. "Modelling structural change using broken sticks," Working Papers 0801, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    • Handle: RePEc:uwe:wpaper:0801
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    File URL: http://carecon.org.uk/DPs/0801.pdf
    File Function: First version, 2008
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    More about this item

    Keywords

    Chow test; Broken stick regression;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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