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Partial Structural Break Identification
Author(s) -
Han Chulwoo,
Taamouti Abderrahim
Publication year - 2017
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/obes.12153
Subject(s) - structural change , identification (biology) , structural break , structural equation modeling , extension (predicate logic) , econometrics , computer science , mathematics , economics , machine learning , botany , macroeconomics , biology , programming language
We propose an extension of the existing information criterion‐based structural break identification approaches. The extended approach helps identify both pure structural change (break) and partial structural change (break) . A pure structural change refers to the case when breaks occur simultaneously in all parameters of regression equation, whereas a partial structural change happens when breaks occur in some parameters only. Our approach consistently outperforms other well‐known approaches. We also extend the simulation studies of Bai and Perron ([Bai, J., 2006] and Hall, Osborn and Sakkas ([Hall, A. R., 2013]) by including more general cases. This provides more comprehensive results and reveals the cases where the existing identification approaches lose power, which should be kept in mind when applying them.