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CiteWeb id: 19980000162

CiteWeb score: 3777

This paper develops the statistical theory for testing and estimating multiple change points in regression models. The rate of convergence and limiting distribution for the estimated parameters are obtained. Several test statistics are proposed to determine the existence as well as the number of change points. A partial structural change model is considered. The authors study both fixed and shrinking magnitudes of shifts. In addition, the models allow for serially correlated disturbances (mixingales). An estimation strategy for which the location of the breaks need not be simultaneously determined is discussed. Instead, the authors' method successively estimates each break point.

The publication "Estimating and Testing Linear Models with Multiple Structural Changes" is placed in the Top 10000 of the best publications in CiteWeb. Also in the category Mathematics it is included to the Top 1000. Additionally, the publicaiton "Estimating and Testing Linear Models with Multiple Structural Changes" is placed in the Top 1000 among other scientific works published in 1998.
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