Estimating the locations and number of change points by the sample-splitting method |
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Authors: | Terence Tai-Leung Chong |
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Institution: | (1) Department of Economics,The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, P. R. C., CN |
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Abstract: | This paper derives a sequential testing and estimation method for the number of change points in structural-change models.
In the first step, the parameters are estimated by a one-change model. The null hypothesis that there is no structural change
against the alternative of one change is tested. If the null is rejected, then the whole sample is split into two subsamples
by using the estimated change point in the previous step as a cutoff point. The same procedure is repeated until the null
in each subsample is accepted. We argue that this method can consistently estimate the number, locations and magnitudes of
changes. Situations in which the sample splitting method fails are also discussed.
Received: April 22, 1997; revised version: October 15, 1999 |
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Keywords: | : Multiple Structural Changes Change-Point Estimator Brownian Motion Bessel Process |
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