Work

Critical values for multiple structural change tests

Year: 2003

Type: article

Abstract: Summary 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.

Source: Econometrics Journal

DOI: 10.1111/1368-423x.00102

Authors: Jushan Bai, Pierre Perron

Institutions: New York University, Boston University

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Science Foundation

OpenAlex ID: W2163937387

FWCI: 22.69

Cites: 7

Cited by: 874

Related to: 9