[Help] Break point tests in the linear model with mutiple structural changes - 未名空间MITBBS历史存档

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[Help] Break point tests in the linear model with mutiple structural changes

[Help] Break point tests in the linear model with mutiple structural changes# Economics - 经济

m*g2007-05-14 07:05

1 楼

I am doing this break point tests with inflation data.
I need to estimate the multiple unknown break point in a MZ regression, with
serial correlated errors.
I use the single point test statistics in Bai and Perron (1998) , also
Andrews' (1998) econometrica papers.
But it seems quite strange, that the size of those test statistics under the
null( no break point) is quite large. I did some simulation, at 5% critical
value, the rejection rate from simulation could be as high as 30% in small
sample

z*j2007-05-14 07:05

2 楼

Not surprising to me.
test statistics is big means that the null hypothsis is false!
here it means "no break points" hypothesis is false,
which means "there are break points".
I am a biostatistician and read a "two phase linear regression model"
paper in stat journal recent days. hehe.

with
the
critical
small
help

【在 m*********g 的大作中提到】

: I am doing this break point tests with inflation data.
: I need to estimate the multiple unknown break point in a MZ regression, with
: serial correlated errors.
: I use the single point test statistics in Bai and Perron (1998) , also
: Andrews' (1998) econometrica papers.
: But it seems quite strange, that the size of those test statistics under the
: null( no break point) is quite large. I did some simulation, at 5% critical
: value, the rejection rate from simulation could be as high as 30% in small
: sample