Likelihood ratio tests for multiple structural changes

被引：121

作者：

Bai, J ^{[1
]}

机构：

[1] MIT, Dept Econ, Cambridge, MA 02139 USA

来源：

JOURNAL OF ECONOMETRICS | 1999年 / 91卷 / 02期

基金：

美国国家科学基金会;

关键词：

structural change; multiple change points; hypothesis testing; dynamic models; trending regressors; limiting distribution;

D O I：

10.1016/S0304-4076(98)00079-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a likelihood-ratio-type test for multiple structural changes in regression models. The model allows for lagged-dependent variables and trending regressors. The limiting distribution of the test is derived. We show that asymptotic critical values can be obtained analytically. In addition, the number and the locations of change points can be consistently determined via the test procedure. The method is straightforward to implement. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：299 / 323

页数：25

共 23 条

[1] Optimal changepoint tests for normal linear regression [J].