Journal ArticleDOI
Critical values for multiple structural change tests
Jushan Bai,Pierre Perron +1 more
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TLDR
In this paper, the authors considered the problem of testing for multiple structural changes under very general conditions on the data and the errors: they considered a type test for the null hypothesis of no change vs. a pre-specified number of changes and also vs. the alternative hypothesis of I + 1 changes.Abstract:
Bai and Perron (1998), henceforth BP, considered estimating multiple structural changes in a linear model. The results are obtained under a general framework of partial structural changes which allows a subset of the parameters not to change.1 Methods to efficiently compute estimates are discussed in Bai and Perron (2003). BP also addressed the problem of testing for multiple structural changes under very general conditions on the data and the errors: they considered a type test for the null hypothesis of no change vs. a pre-specified number of changes and also vs. an alternative of an arbitrary number of changes (up to some maximum), as well as a procedure that allows one to test the null hypothesis of, say, I changes, vs. the alternative hypothesis of I + 1 changes. The latter is particularly useful in that it allows a specific to general modeling strategy to consistently determine the appropriate number of changes in the data. The tests can be constructed allowing different serial correlation in the errors, different distribution for the data and the errors across segments or imposing a common structure.read more
Citations
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Dealing with Structural Breaks
TL;DR: In this paper, a review of methods related to estimation and inference about break dates for single equations with or without restrictions, with extensions to multi-equations systems where allowance is also made for changes in the variability of the shocks, tests for structural changes including tests for a single or multiple changes and tests valid with unit root or trending regressors, and tests for changes of the trend function of a series that can be integrated or trend-stationary.
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Selective review of offline change point detection methods
TL;DR: In this article, the authors present a selective survey of algorithms for the offline detection of multiple change points in multivariate time series, and a general yet structuring methodological strategy is adopted to organize this vast body of work.
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Estimating and Testing Structural Changes in Multivariate Regressions
Zhongjun Qu,Pierre Perron +1 more
TL;DR: In this paper, the authors consider the problem of estimating, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations, where changes can occur in the regression coefficients and/or the covariance matrix of the errors.
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Inequality and Unsustainable Growth : Two Sides of the Same Coin?
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Listeria monocytogenes contamination of ready-to-eat foods and the risk for human health in the EU.
Antonia Ricci,Ana Allende,Declan Bolton,Marianne Chemaly,Robert Davies,Pablo Salvador Fernández Escámez,Rosina Girones,Lieve Herman,Konstantinos Koutsoumanis,Birgit Nørrung,Lucy J. Robertson,Giuseppe Ru,Moez Sanaa,Marion Simmons,Panagiotis N. Skandamis,Emma Snary,Niko Speybroeck,Benno H. ter Kuile,John Threlfall,Helene Wahlström,Johanna Takkinen,Martin Wagner,Davide Arcella,Maria Teresa Da Silva Felicio,Marios Georgiadis,Winy Messens,Roland Lindqvist +26 more
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References
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Journal ArticleDOI
Estimating and testing linear models with multiple structural changes
Jushan Bai,Pierre Perron +1 more
TL;DR: In this article, the authors developed the statistical theory for testing and estimating multiple change points in regression models, and several test statistics were proposed to determine the existence as well as the number of change points.
Journal ArticleDOI
Tests for Parameter Instability and Structural Change with Unknown Change Point.
TL;DR: In this article, the authors considered tests for parameter instability and structural change with unknown change point, and the results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures.
Journal ArticleDOI
Computation and analysis of multiple structural change models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the break dates and the number of breaks in a linear model with multiple structural changes has been considered and an efficient algorithm based on the principle of dynamic programming has been proposed.
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Computation and Analysis of Multiple Structural-Change Models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the number of break dates in a linear model with multiple structural changes has been studied and an efficient algorithm to obtain global minimizers of the sum of squared residuals has been proposed.
Journal ArticleDOI
Estimating multiple breaks one at a time
TL;DR: In this article, the authors proposed a method to estimate the number of break points one by one as opposed to all simultaneously, and showed that the estimated break points are T-consistent, the same rate as the simultaneous estimation.
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