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Modelling structural change using broken sticks

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Author Info
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)

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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.

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File URL: http://carecon.org.uk/DPs/0801.pdf
File Format: application/pdf
File Function: First version, 2008
Download Restriction: no

Publisher Info
Paper provided by University of the West of England, Department of Economics in its series Discussion Papers with number 0801.

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Length: 12 pages
Date of creation: Jan 2008
Date of revision:
Handle: RePEc:uwe:wpaper:0801

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Web page: http://www.uwe.ac.uk/bbs/acad/econ/econ.shtml
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Related research
Keywords: Chow test; Broken stick regression;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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This page was last updated on 2009-11-24.

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