Computation and Analysis of Multiple Structural Change Models

Bai, J., & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 1-22.

Type

Journal article

Intellectual base

Primary research

Year

2003

DOI

10.1002/jae.659

Link

https://doi.org/10.1002/jae.659

Cited by

1 citation across 1 artifact.

Domain-specific

• Structural Break
  • … subject to minimum segment lengths, derive limiting distributions, and develop tests for the number of changes. Their computational treatment uses dynamic programming to obtain global minimizers efficiently, constructs confidence intervals for break dates, and discusses sequential tests and information criteria.

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