The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Estimation of a Change Point in Multiple Regression Models
Open accessAbstract
This paper studies the least squares estimation of a change point in multiple regressions. Consistency, rate of convergence, and asymptotic distributions are obtained. The model allows for lagged dependent variables and trending regressors. The error process can be dependent and heteroskedastic. For nonstationary regressors or disturbances, the asymptotic distribution is shown to be skewed. The analytical density function and the cumulative distribution function for the general skewed distribution are derived. The analysis applies to both pure and partial changes. The method is used to analyze the response of market interest rates to discount rate changes.
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Citations
Cites
Computation and analysis of multiple structural change models
Bai, J., & Perron, P. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.659 · Cited by 5,771
Self-citationTests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
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Cited by
Computation and analysis of multiple structural change models
Bai, J., & Perron, P. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.659 · Cited by 5,771
Self-citationHas the Business Cycle Changed and Why?
Stock, J., & Watson, M. (2002) · National Bureau of Economic Research · doi:10.3386/w9127 · Cited by 560
Estimating and Testing Structural Changes in Multivariate Regressions
Qu, Z., & Perron, P. (2007) · Econometrica · doi:10.1111/j.1468-0262.2006.00754.x · Cited by 466
Extinctions of aculeate pollinators in Britain and the role of large-scale agricultural changes
Ollerton, J., Erenler, H., Edwards, M., & Crockett, R. (2014) · Science · doi:10.1126/science.1257259 · Cited by 431
School Finance Reform and the Distribution of Student Achievement
Lafortune, J., Rothstein, J., & Schanzenbach, D. W. (2018) · American Economic Journal: Applied Economics · doi:10.1257/app.20160567 · Cited by 415
Metadata
- Authors
- Bai, J.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 1997-11
- Volume
- 79
- Issue
- 4
- Pages
- 551-563
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W1974977139
- Cited by
- 829
- References
- 2
- FWCI
- 8.95
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
