Tests for Structural Breaks in Time Series Analysis: A Review of Recent Development

  • P Muthuramu Department of Development Studies, Rajiv Gandhi National Institute of Youth Development, Chennai, Tamil Nadu, India
  • T Uma Maheswari Assistant Professor, Department of Economics, Lady Doak College, Madurai, Tamil Nadu, India
Keywords: Structural Breaks, Chow, Quandt-Andrews, Bai-Perron test

Abstract

The issue related to a structural break or change point in the econometric and statistics literature is relatively vast. In recent decades it was increasing, and it got recognized by various researchers. The debates are about a structural break or parameter instability in the econometric models. Over some time, there has been a different mechanism, and theoretical development stretching the fundamental change and strengthen the econometric literature. Estimation of structural break has undergone significant changes. Instead of exploring the presence of a known structural break, now the emphasis is on tracing multiple unknown cracks using dynamic programming. The paper an attempt has been made to review the different forms of the presence of structural break(s) over the past.

Published
2019-08-31
How to Cite
Muthuramu, P., & Uma Maheswari, T. (2019). Tests for Structural Breaks in Time Series Analysis: A Review of Recent Development. Shanlax International Journal of Economics, 7(4), 66-79. https://doi.org/10.34293/economics.v7i4.628
Section
Articles