Abstract
This article covers methodological issues related to estimation, testing and computation for models involving structural changes. The amount of work on this subject since the 1950s is truly voluminous in both the statistics and econometrics literature. Accordingly, any survey is bound to focus on specific aspects. Our aim is to review developments as they relate to econometric applications based on linear models. Recently, substantial advances have been made to cover models at a level of generality that allows a host of interesting practical applications. These include models with general stationary regressors and errors that can exhibit temporal dependence and heteroskedasticity, models with trending variables and possible unit roots and cointegrated models, among others. Advances have been made pertaining to computational aspects of constructing estimates, their limit distributions, tests for structural changes, and methods to determine the number of changes present. For a more extensive review the reader is referred to Perron (2006).
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Perron, P. (2010). Structural change, econometrics of. In: Durlauf, S.N., Blume, L.E. (eds) Macroeconometrics and Time Series Analysis. The New Palgrave Economics Collection. Palgrave Macmillan, London. https://doi.org/10.1057/9780230280830_32
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DOI: https://doi.org/10.1057/9780230280830_32
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