Partial Structural Break Identification
提出一种扩展的信息准则方法，用于识别回归方程中所有参数同时发生或仅部分参数发生的结构断点，模拟显示该方法优于现有方法。
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.