Partial Structural Break Identi fication

Han, C.; Taamouti, A.

doi:10.1111/obes.12153

Partial Structural Break Identi fication

Han, C.; Taamouti, A.

Authors

C. Han

Professor Abderrahim Taamouti abderrahim.taamouti@durham.ac.uk
Visiting Fellow

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.

Citation

Han, C., & Taamouti, A. (2017). Partial Structural Break Identi fication. Oxford Bulletin of Economics and Statistics, 79(2), 145-164. https://doi.org/10.1111/obes.12153

Journal Article Type	Article
Acceptance Date	Jul 27, 2016
Online Publication Date	Feb 10, 2017
Publication Date	Apr 10, 2017
Deposit Date	Aug 10, 2016
Publicly Available Date	Feb 10, 2019
Journal	Oxford Bulletin of Economics and Statistics
Print ISSN	0305-9049
Electronic ISSN	1468-0084
Publisher	Wiley
Peer Reviewed	Peer Reviewed
Volume	79
Issue	2
Pages	145-164
DOI	https://doi.org/10.1111/obes.12153
Public URL	https://durham-repository.worktribe.com/output/1406583

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Copyright 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.