Critical Values for Multiple Structural Change Tests

7 Pages Posted: 22 Sep 2003

See all articles by Jushan Bai

Jushan Bai

New York University (NYU) - Department of Economics

Pierre Perron

Boston University - Department of Economics

Abstract

Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. The asymptotic distributions of the tests depend on a trimming parameter set and critical values were tabulated for a set equal to 0.05. As discussed in Bai and Perron (2000), larger values of the set are needed to achieve tests with correct size in finite samples, when allowing for heterogeneity across segments or serial correlation in the errors. The aim of this paper is to supplement the set of critical values available with other values of the set to enable proper empirical applications. We provide response surface regressions valid for a wide range of parameters.

Suggested Citation

Bai, Jushan and Perron, Pierre, Critical Values for Multiple Structural Change Tests. Available at SSRN: https://ssrn.com/abstract=416348

Jushan Bai (Contact Author)

New York University (NYU) - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10003
United States

Pierre Perron

Boston University - Department of Economics ( email )

270 Bay State Road
Boston, MA 02215
United States
617-353-3026 (Phone)

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