Estimating and Testing Linear Models with Multiple Structural Changes

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

Type

Journal article

Intellectual base

Primary research

Year

1998

Link

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

Cited by

1 citation across 1 artifact.

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.

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