Estimating Multiple Breaks One at a Time
Sequential (one-by-one) rather than simultaneous estimation of multiple breaks is investigated in this paper. The advantage of this method lies in its computational savings and its robustness to misspecification in the number of breaks. The number of least-squares regressions required to compute all of the break points is of order T , the sample size. Each estimated break point is shown to be consistent for one of the true ones despite underspecification of the number of breaks. More interestingly and somewhat surprisingly, the estimated break points are shown to be T -consistent, the same rate as the simultaneous estimation. Limiting distributions are also derived. Unlike simultaneous estimation, the limiting distributions are generally not symmetric and are influenced by regression parameters of all regimes. A simple method is introduced to obtain break point estimators that have the same limiting distributions as those obtained via simultaneous estimation. Finally, a procedure is proposed to consistently estimate the number of breaks.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Aug 1995|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (617) 253-3361
Fax: (617) 253-1330
Web page: http://econ-www.mit.edu/
More information through EDIRC
|Order Information:|| Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA|
When requesting a correction, please mention this item's handle: RePEc:mit:worpap:95-18. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Linda Woodbury)
If references are entirely missing, you can add them using this form.