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The asymptotic behaviour of the residual sum of squares in models with multiple break points.
- Source :
- Econometric Reviews; 2017, Vol. 36 Issue 6-9, p667-698, 32p
- Publication Year :
- 2017
-
Abstract
- Models with multiple discrete breaks in parameters are usually estimated via least squares. This paper, first, derives the asymptotic expectation of the residual sum of squares and shows that the number of estimated break points and the number of regression parameters affect the expectation differently. Second, we propose a statistic for testing the joint hypothesis that the breaks occur at specified points in the sample. Our analytical results cover models estimated by the ordinary, nonlinear, and two-stage least squares. An application to U.S. monetary policy rejects the assumption that breaks are associated with changes in the chair of the Fed. [ABSTRACT FROM AUTHOR]
- Subjects :
- LEAST squares
MATHEMATICAL statistics
REGRESSION analysis
HYPOTHESIS
MONETARY policy
Subjects
Details
- Language :
- English
- ISSN :
- 07474938
- Volume :
- 36
- Issue :
- 6-9
- Database :
- Complementary Index
- Journal :
- Econometric Reviews
- Publication Type :
- Academic Journal
- Accession number :
- 124333332
- Full Text :
- https://doi.org/10.1080/07474938.2017.1307523