Critical values for multiple structural change tests

By Jushan Bai, Pierre Perron. 2003

847 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/4cf4bb166143a254526858817ebbf0d3fb549a8e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Statistics and Probability

Citations in the corpus

Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “These have recently been extended in Bai and Perron (2003b) to cover a wider range of values of e: The second set of generalisations considered by them is to test for the null hypothesis of l breaks against the alternative that an additional break exists, where the total number of breaks may be…”
Dealing with Structural Breaks (2005, methodology): “Also discussed in Bai and Perron (2003a) are variations in the exact construction of the test that allow one to impose various restrictions on the nature of the errors and regressors, which can help improve power.”
A review of change point detection methods (2018, background): “Additional asymptotic properties are also provided [16, 111, 115], for instance the asymptotic distribution of the change point locations and the limiting distribution of V (ˆ t K ) (which can be used to design a statistical test).”
Selective review of offline change point detection methods (2020, background): “From a theoretical point of view, piecewise linear models are extensively studied in the context of change point detection by a series of important contributions [14, 67–71, 73–77].”
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES (2015, methodology): “Andrews (1993) and Bai and Perron (1998, 2003b) tabulate the critical values for the sup-type test for a one-time break and multiple breaks, respectively.”
Trade-GDP Nexus in Iran: An Application of the Autoregressive Distributed Lag (ARDL) Model (2005, neutral): “Perron, P., 1997.”
Estimating and Testing Structural Changes in Multivariate Regressions (2007, background): “[11] ––— (2003b): “Critical Values for Multiple Structural Change Tests,” Econometrics Journal, 6, 72-78.”
Does urbanization increase pollutant emission and energy intensity? evidence from some Asian developing economies (2019, methodology): “the Westerlund (2007), Bai and Perron (2003) and Johansen Fisher tests proposed by Maddala and Wu (1999)(2) – were also conducted to check the robustness of our earlier test results.”