Estimating and Testing Linear Models with Multiple Structural Changes
Open accessAbstract
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.
Integrity signals
Registry
Cites
Statistics
Claims the paper makes
Claims other papers make about this one
Each is checked against this paper’s own text: does it say what the citing paper says it does?
The increase in distance between US and UK understandings of Empire was confirmed with a structural break test (Bai and Perron 1998).
“We confirmed this with a structural break test (Bai and Perron 1998).”
From Embedding Regression: Models for Context-Specific Description and Inference (2023) · cites this paper as Bai and Perron 1998
Cited by
Sorted by citations
Threshold effects in non-dynamic panels: Estimation, testing, and inference
Hansen, B. E. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(99)00025-1 · Cited by 5,260 · see citing works
<b>changepoint</b> : An <i>R</i> Package for Changepoint Analysis
Killick, R., & Eckley, I. A. (2014) · Journal of Statistical Software · doi:10.18637/jss.v058.i03 · Cited by 1,330 · see citing works
Estimation of dynamic panel threshold model using Stata
Seo, M. H., Kim, S., & Kim, Y.-J. (2019) · The Stata Journal Promoting communications on statistics and Stata · doi:10.1177/1536867x19874243 · Cited by 352 · see citing works
The Anatomy of Start-Stop Growth
Jones, B. F., & Olken, B. A. (2008) · Review of Economics and Statistics · doi:10.1162/rest.90.3.582 · Cited by 301 · see citing works
Effects of Index-fund Investing on Commodity Futures Prices
Hamilton, J. D., & Wu, J. C. (2015) · International Economic Review · doi:10.1111/iere.12099 · Cited by 241 · see citing works
Role of Dopamine D2 Receptors in Human Reinforcement Learning
Eisenegger, C., Naef, M., Linssen, A., Clark, L., Gandamaneni, P. K., Müller, U., & Robbins, T. W. (2014) · Neuropsychopharmacology · doi:10.1038/npp.2014.84 · Cited by 134 · see citing works
Embedding Regression: Models for Context-Specific Description and Inference
RODRIGUEZ, P. L., SPIRLING, A., & STEWART, B. M. (2023) · American Political Science Review · doi:10.1017/s0003055422001228 · Cited by 70 · see citing works
van Kessel, R., Kyriopoulos, I., Wong, B. L. H., & Mossialos, E. (2023) · Journal of Medical Internet Research · doi:10.2196/42401 · Cited by 49 · see citing works
Sanctions and Russian online prices
Benchimol, J., & Palumbo, L. (2024) · Journal of Economic Behavior & Organization · doi:10.1016/j.jebo.2024.07.013 · Cited by 37 · see citing works
Ma, C., Chitra, U., Zhang, S., & Raphael, B. J. (2022) · Cell Systems · doi:10.1016/j.cels.2022.09.002 · Cited by 27 · see citing works
Çelik, O., Adali, Z., & Bari, B. (2022) · Environmental Science and Pollution Research · doi:10.1007/s11356-022-23178-3 · Cited by 18 · see citing works
Alam, M. S., Amendola, A., Candila, V., & Jabarabadi, S. D. (2024) · Econometrics · doi:10.3390/econometrics12010002 · Cited by 15 · see citing works
Brain Drain and Productivity Growth: Evidence From South Africa, 1947–2019
Fedderke, J., & Dong, X. (2026) · Economics of Transition and Institutional Change · doi:10.1111/ecot.70031
- Authors
- Bai, J., & Perron, P.
- ORCID
- Bai, Jushan
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1998-01
- Volume
- 66
- Issue
- 1
- Pages
- 47
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1491711721
- Cited by
- 6,112
- References
- 0
- Citations by year
- 2026: 399 · 2025: 300 · 2024: 253 · 2023: 286 · 2022: 305 · 2021: 358 · 2020: 313 · 2019: 285 · 2018: 301 · 2017: 295 · 2016: 304 · 2015: 306 · 2014: 300 · 2013: 249 · 2012: 247
- FWCI
- 32.84
- Type
- journal article
- Language
- en
- Open access
- green
- hdl.handle.net
- Licence
- cc-by-nc
- Locations
- Econometrica (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- DSpace@MIT (Massachusetts Institute of Technology) (submittedVersion, cc-by-nc)
- Papyrus : Institutional Repository (Université de Montréal) (submittedVersion)
- Topics
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Social Sciences › Decision Sciences › Statistics, Probability and Uncertainty › Advanced Statistical Process Monitoring
- Keywords
- multiple structural breaks, change point estimation, linear regression, convergence rate, asymptotic distribution
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
