Econometric Theory and Practice: Multiple Structural Change Models: A Simulation Analysis

By Jushan Bai, Pierre Perron. 2006

303 citations recorded by the source corpus.

Subfields: Computational Mechanics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d3b361fce5aae884f7852c21244a4bb29c98feaf

How researchers see this paper

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

In Computational Mechanics

1. David E. Rapach
2. M. Wohar
3. Liangjun Su
4. J. Qian
5. Pierre Perron

In Management Science and Operations Research

1. M. Wohar
2. David E. Rapach
3. J. Qian
4. Liangjun Su
5. Pierre Perron
6. Zhongjun Qu

In Statistics and Probability

1. Liangjun Su
2. J. Qian
3. M. Wohar
4. David E. Rapach
5. Zhongjun Qu
6. Pierre Perron
7. Muhammad Shahbaz
8. Serena Ng

Citations in the corpus

• Dealing with Structural Breaks (2005, methodology): “For models with restrictions (including the partial structural change model), an iterative procedure is available, which in most cases requires very few iterations (see Bai and Perron, 2003, and Perron and Qu, 2005, who make available Gauss codes to perform these and other tasks).”
• SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES (2015, methodology): “As Bai and Perron (2006) show, the multiple structural change tests tend to be more powerful than the single structural change tests when multiple breaks are present.”
• Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? (2005, methodology): “Bai and Perron (2001) develop an efficient algorithm for the minimization problem in Equation (3) based on the principle of dynamic programming.”
• Estimating and Testing Structural Changes in Multivariate Regressions (2007, background): “[12] ––— (2004): “Multiple Structural Change Models: A Simulation Analysis,” manuscript, Department of Economics, Boston University.”
• Is Official Exchange Rate Intervention Effective (2004, unknown): “9 As a supplementary check on these results, I applied the methods of Bai and Perron (1998, 2000, 2001a, 2001b) to test for multiple structural breaks in the AR(1) process for qt, with allowance for up to eight breaks.”
• Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns (2006, methodology): “This makes our applications of the Bai (1997) subsample procedure consistent with our applications of the Bai and Perron (1998, 2003a, 2004) methodology described below.”