Multiple structural change models: A simulation analysis

Econometric Theory and Practice: Frontiers of Analysis and Applied Research

Volumn , Issue , 2006, Pages 212-238

  Bai, Jushan ^a   Perron, Pierre ^b  

^a BOSTON COLLEGE   (United States)

^b BOSTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84929267412     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1017/CBO9781139164863.010     Document Type: Chapter

References (11)

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2. Andrews, D.W.K. (1993). “Tests for parameter instability and structural change with unknown change point,” Econometrica, 61, 821–856.
3. Andrews, D.W. K. and J. C. Monahan (1992). “An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator,” Econometrica, 60, 953–966.
4. Bai, J. (1997a). “Estimation of a change point in multiple regression models,” Review of Economics and Statistics, 79, 551–563.
5. Bai, J. (1997b). “Estimating multiple breaks one at a time,” Econometric Theory, 13, 315–352.
6. Bai, J. and P. Perron (1998). “Estimating and testing linear models with multiple structural changes,” Econometrica, 66, 47–78.
7. Bai, J. and P. Perron (2003a). “Computation and analysis of multiple structural change models,” Journal of Applied Econometrics, 18, 1–22.
8. Bai, J. and P. Perron (2003b). “Critical values for multiple structural change tests,” Econometrics Journal, 6, 72–78.
9. Liu, J., S. Wu, and J. V. Zidek (1997). “On segmented multivariate regressions,” Statistica Sinica, 7, 497–525.
10. Perron, P. (1997). “L’estimation de modèles avec changements structurels multiples,” Actualité É conomique, 73, 457–505.
11. Yao, Y-C. (1988). “Estimating the number of change-points via Schwarz’ Criterion,” Statistics and Probability Letters, 6, 181–189.