Estimation of a Change Point in Multiple Regression Models

The Review of Economics and Statistics, Vol. LXXIX, No. 4 (November 1997)

Posted: 22 Mar 1998

See all articles by Jushan Bai

Jushan Bai

New York University (NYU) - Department of Economics

Abstract

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.

JEL Classification: C12

Suggested Citation

Bai, Jushan, Estimation of a Change Point in Multiple Regression Models. The Review of Economics and Statistics, Vol. LXXIX, No. 4 (November 1997), Available at SSRN: https://ssrn.com/abstract=69451

Jushan Bai (Contact Author)

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

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

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