Critical values for multiple structural change tests
Author:
Affiliation:
1. Department of Economics, New York University, 269 Mercer Street, 7th Floor, New York, NY 10003, USA jushan.bai@nyu.edu
2. Department of Economics, Boston University, 270 Bay State Rd., Boston, MA 02215, USA perron@bu.edu
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/6/1/72/25961674/ectj0072.pdf
Reference8 articles.
1. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993
2. Optimal changepoint tests for normal linear regression;Andrews;Journal of Econometrics,1996
3. Estimating multiple breaks one at a time;Bai;Econometric Theory,1997
4. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1998
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