Structural breaks in time series

Date Issued
2019-12-06Publisher Version
10.1093/acrefore/9780190625979.013.179Author(s)
Casini, Alessandro
Perron, Pierre
Metadata
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2021-03-26Permanent Link
https://hdl.handle.net/2144/36593Version
Accepted manuscript
Citation (published version)
Casini, A., & Perron, P. (2019, March 26). Structural Breaks in Time Series. Oxford Research Encyclopedia of Economics and Finance. https://doi.org/10.1093/acrefore/9780190625979.013.179Abstract
This article covers methodological issues related to estimation, testing, and computation for models involving structural changes. Our aim is to review developments as they relate to econometric applications based on linear models. Substantial advances have been made to cover models at a level of generality that allow a host of interesting practical applications. These include models with general stationary regressors and errors that can exhibit temporal dependence and heteroskedasticity, models with trending variables and possible unit roots and cointegrated models, among others. Advances have been made pertaining to computational aspects of constructing estimates, their limit distributions, tests for structural changes, and methods to determine the number of changes present. A variety of topics are covered including recent developments: testing for common breaks, models with endogenous regressors (emphasizing that simply using least-squares is preferable over instrumental variables methods), quantile regressions, methods based on Lasso, panel data models, testing for changes in forecast accuracy, factors models, and methods of inference based on a continuous records asymptotic framework. Our focus is on the so-called off-line methods whereby one wants to retrospectively test for breaks in a given sample of data and form confidence intervals about the break dates. The aim is to provide the readers with an overview of methods that are of direct use in practice as opposed to issues mostly of theoretical interest.
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Reproduced by permission of Oxford University Press https://global.oup.com/academic/rights/permissions/autperm/?cc=gb&lang=en&. DOI: 10.1093/acrefore/9780190625979.013.179Collections
- BU Open Access Articles [3664]
- CAS: Economics: Scholarly Papers [187]