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Estimating the locations and number of change points by the sample-splitting method

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Abstract

This paper derives a sequential testing and estimation method for the number of change points in structural-change models. In the first step, the parameters are estimated by a one-change model. The null hypothesis that there is no structural change against the alternative of one change is tested. If the null is rejected, then the whole sample is split into two subsamples by using the estimated change point in the previous step as a cutoff point. The same procedure is repeated until the null in each subsample is accepted. We argue that this method can consistently estimate the number, locations and magnitudes of changes. Situations in which the sample splitting method fails are also discussed.

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  1. Department of Economics, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, PRC

    Terence Tai-Leung Chong

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  1. Terence Tai-Leung Chong
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Chong, T.TL. Estimating the locations and number of change points by the sample-splitting method. Statistical Papers 42, 53–79 (2001). https://doi.org/10.1007/s003620000040

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  • DOI: https://doi.org/10.1007/s003620000040

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