Estimating Multiple Breaks One at a Time
研究了逐个而非同时估计多个结构断点的方法，该方法计算量小且对断点数量误设稳健，估计量具有与同时估计相同的收敛速度，但极限分布不对称且受所有区制回归参数影响，并提出了修正方法及断点数量的一致估计。
Sequential (one-by-one) rather than simultaneous estimation of multiple breaks is investigated in this paper. The advantage of this method lies in its computational savings and its robustness to misspecification in the number of breaks. The number of least-squares regressions required to compute all of the break points is of order T , the sample size. Each estimated break point is shown to be consistent for one of the true ones despite underspecification of the number of breaks. More interestingly and somewhat surprisingly, the estimated break points are shown to be T -consistent, the same rate as the simultaneous estimation. Limiting distributions are also derived. Unlike simultaneous estimation, the limiting distributions are generally not symmetric and are influenced by regression parameters of all regimes. A simple method is introduced to obtain break point estimators that have the same limiting distributions as those obtained via simultaneous estimation. Finally, a procedure is proposed to consistently estimate the number of breaks.