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Abstract
En 中文
This paper proposes a likelihood-ratio-type test for multiple structural changes in regression models. The model allows for lagged-dependent variables and trending regressors. The limiting distribution of the test is derived. We show that asymptotic critical values can be obtained analytically. In addition, the number and the locations of change points can be consistently determined via the test procedure. The method is straightforward to implement. (C) 1999 Elsevier Science S.A. All rights reserved.
Keywords:
structural change
multiple change points
hypothesis testing
dynamic models
trending regressors
limiting distribution
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