Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866912509424828416 |
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| author | Boldea, Otilia Hall, Alastair R. |
| author_facet | Boldea, Otilia Hall, Alastair R. |
| contents | We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it focuses on inference about the change-points in slope parameters, rather than in the mean of the dependent variable - the latter being common in the statistical literature; (2) it focuses on detecting - via sequential testing and other methods - multiple change-points, and only discusses one change-point when methods for multiple change-points are not available; (3) it is meant as a practitioner's guide for empirical macroeconomists first, and as a result, it focuses only on the methods derived under the most general assumptions relevant to macroeconomic applications. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_22204 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments Boldea, Otilia Hall, Alastair R. Econometrics We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it focuses on inference about the change-points in slope parameters, rather than in the mean of the dependent variable - the latter being common in the statistical literature; (2) it focuses on detecting - via sequential testing and other methods - multiple change-points, and only discusses one change-point when methods for multiple change-points are not available; (3) it is meant as a practitioner's guide for empirical macroeconomists first, and as a result, it focuses only on the methods derived under the most general assumptions relevant to macroeconomic applications. |
| title | Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments |
| topic | Econometrics |
| url | https://arxiv.org/abs/2507.22204 |