Estimating and Testing Linear Models with Multiple Structural Changes
发展了回归模型中多个变点的检验与估计统计理论，给出了估计量的收敛速度和极限分布，提出了确定变点存在性和数量的检验统计量，并讨论了部分结构变化模型和序列相关扰动下的估计策略。
This paper develops the statistical theory for testing and estimating multiple change points in regression models. The rate of convergence and limiting distribution for the estimated parameters are obtained. Several test statistics are proposed to determine the existence as well as the number of change points. A partial structural change model is considered. The authors study both fixed and shrinking magnitudes of shifts. In addition, the models allow for serially correlated disturbances (mixingales). An estimation strategy for which the location of the breaks need not be simultaneously determined is discussed. Instead, the authors' method successively estimates each break point.