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Partial structural break identification.

Han, C. and Taamouti, A. (2017) 'Partial structural break identification.', Oxford bulletin of economics and statistics., 79 (2). pp. 145-164.

Abstract

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 (2006 and Hall, Osborn and Sakkas (2013) 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.

Item Type:Article
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1111/obes.12153
Publisher statement:This is the accepted version of the following article: Han, C. & Taamouti, A. (2017). Partial Structural Break Identification. Oxford Bulletin of Economics and Statistics, 79(2): 145-162, which has been published in final form at https://doi.org/10.1111/obes.12153. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Date accepted:27 July 2016
Date deposited:10 August 2016
Date of first online publication:10 February 2017
Date first made open access:10 February 2019

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