Abstract
This article is concerned with methodological issues related to estimation, testing and computation in the context of structural changes in linear models. The topics covered are: methods related to estimation and inference about break dates for single equations with or without restrictions, with extensions to multi-equations systems where allowance is also made for changes in the variability of the shocks; tests for structural changes including tests for single or multiple changes and tests valid with unit root or trending regressors, and tests for changes in the trend function of a series that can be integrated or trend-stationary.
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Perron, P. (2018). Structural Change, Econometrics of. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2608
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2608
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