Critical values for multiple structural change tests

Summary.Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. The asymptotic distributions of the tests depend on a trimming parameter ε and critical values were tabulated for ε= 0.05 . As discussed in Bai and Perron (2000), larger values of ε are needed to achieve tests with correct size in finite samples, when allowing for heterogeneity across segments or serial correlation in the errors. The aim of this paper is to supplement the set of critical values available with other values of ε to enable proper empirical applications. We provide response surface regressions valid for a wide range of parameters.