Partial Structural Break Identification
Chulwoo Han, Abderrahim Taamouti · Oxford Bulletin of Economics and Statistics · 2017
Abstract We propose an extension of the existing information criterion‐based structural break identification approaches. The extended approach helps identify both pure structural change (break) and partial structural change (break). A pure structural change refers to the case when breaks occur simultaneously in all parameters of regression equation, whereas a partial structural change happens when breaks occur in some parameters only. Our approach consistently outperforms other well‐known approaches. We also extend the simulation studies of Bai and Perron ( and Hall, Osborn and Sakkas ( ) by including more general cases. This provides more comprehensive results and reveals the cases where the existing identification approaches lose power, which should be kept in mind when applying them.