Estimating and Testing Linear Models with Multiple Structural Changes

Bai, J., & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66(1), 47-78.

Type

Journal article

Intellectual base

Primary research

Year

1998

Volume

66

Issue

1

Pages

47-78

DOI

10.2307/2998540

DOI registrant

JSTOR

Link

https://doi.org/10.2307/2998540

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Domain-specific

• Structural Break
  • Bai and Perron formulate pure and partial structural-change models, estimate break dates by minimizing segmented sums of squared residuals subject to minimum segment lengths, derive limiting distributions, and develop tests for the number of changes.

Mechanisms

• Breakpoint Sensitivity Sweep
  • Test the break, not just eyeball it. Confirm a suspected shift against a structural-break criterion so a bend is distinguished from noise.

    This sourceDevelops statistical tests for whether structural changes exist and for estimating the number and locations of change points in linear models.

Verification

Does it exist? Confirmed. This work's DOI resolves to a registered record, which fixes its identity. That is all it fixes.

Does it back the claim? Not recorded. Neither this nor any other of the 2 citations of this work carries a recorded support check.

Support is checked per citation rather than per work — the same source can be cited soundly in one article and wrongly in another. Per-citation recording began recently, so a citation with no recorded check is a gap in the record rather than evidence it went unchecked.

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Links previously used in the corpus

Before the registry existed this work was also linked 1 other way.

• https://www.columbia.edu/~jb3064/papers/1998_Estimating_and_testing_linear_models_with_multiple_structural_changes.pdf ×1

Registry ID ref:7dce3dcfcc1e · see in the full table