Partial Structural Break Identification

We propose an extension of the existing information criterion‐based structural break identification approaches. The extended approach helps identify both pure structural change (break) and partial structural change (break). A pure structural change refers to the case when breaks occur simultaneously...

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Bibliographic Details
Published in:Oxford bulletin of economics and statistics 2017-04, Vol.79 (2), p.145-164
Main Authors: Han, Chulwoo, Taamouti, Abderrahim
Format: Article
Language:English
Subjects:
Mathematics
Regression analysis
Structural adjustment
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Summary:We propose an extension of the existing information criterion‐based structural break identification approaches. The extended approach helps identify both pure structural change (break) and partial structural change (break). A pure structural change refers to the case when breaks occur simultaneously in all parameters of regression equation, whereas a partial structural change happens when breaks occur in some parameters only. Our approach consistently outperforms other well‐known approaches. We also extend the simulation studies of Bai and Perron ( and Hall, Osborn and Sakkas () by including more general cases. This provides more comprehensive results and reveals the cases where the existing identification approaches lose power, which should be kept in mind when applying them.
ISSN:0305-9049
1468-0084
DOI:10.1111/obes.12153