Critical Values For Multiple Structural Change Tests  

Oleh:

Bai, Jushan ; Perron, Pierre

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 6 no. 1 (Jun. 2003), page 72-78.
Topik: Hypothesis testing; Response surface; Simulations; Change-point; Segmented regressions
Fulltext: 72.pdf (57.03KB)

Isi artikel

Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. The asymptotic distributions of the tests depend on a trimming parameter  and critical values were tabulated for  = 0.05. As discussed in Bai and Perron (2000), larger values of  are needed to achieve tests with correct size in finite samples, when allowing for heterogeneity across segments or serial correlation in the errors. The aim of this paper is to supplement the set of critical values available with other values of  to enable proper empirical applications. We provide response surface regressions valid for a wide range of parameters.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali