Birgit Strikholm: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
Abstract: In this paper we propose a sequential method for determining the number of breaks in piecewise linear structural break models. An advantage of the method is that it is based on standard statistical inference. Tests available for testing linearity against switching regression type nonlinearity are applied sequentially to determine the number of regimes in the structural break model. A simulation study is performed in order to investigate the finite-sample behaviour of the procedure and to compare it with other alternatives. We find that our method works well in comparison for both single and multiple break cases.
30 pages, December 13, 2006
Full text files
hastef0648.pdf Full text
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-03-27 10:24:59.