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The asymptotic behaviour of the residual sum of squares in models with multiple break points

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posted on 2023-05-19, 13:22 authored by Hall, AR, Osborn, DR, Sakkas, N
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.

History

Publication title

Econometric Reviews

Volume

36

Issue

6-9

Pagination

667-698

ISSN

0747-4938

Department/School

TSBE

Publisher

Taylor & Francis Inc.

Place of publication

United States

Rights statement

Copyright 2017 Alastair R. Hall, Denise R. Osborn, and Nikolaos Sakkas. Licensed under Creative Commons Attribution 4.0 International (CC BY 4.0) https://creativecommons.org/licenses/by/4.0/

Repository Status

  • Open

Socio-economic Objectives

Other economic framework not elsewhere classified

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