LE CHANGEMENT STRUCTUREL DANS UN ENVIRONNEMENT MÉMOIRE LONGUE

Mohamed Boutahar and Mustapha Belkhouja ()
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Mustapha Belkhouja: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we consider the problem of estimation of the break dates and present an efficient algorithm in order to obtain global minimizers of the sum of squared residuals. This algorithm is based on the principle of dynamic programming and requires at most least-squares operations of order O(n2) for any number of breaks. We also study the estimation of the number of breaks by using the information criteria, the test of Bai and Perron (1998), and the method of Lavielle (2004). Finally, we perform a Monte Carlo study to analyse the behaviour of estimators and tests infinite sample size.

Keywords: Break dates; dynamic programming; hypothesis testing; long memory; model selection; multiple regimes; penalized least-squares estimate; pure structural change.; Changement structurel pur; dates de ruptures; estimation des moindres carrés pénalisés; tests d'hypothèses; mémoire longue; programmation dynamique; régimes multiples; sélection de modèle; tests d'hypothèses. (search for similar items in EconPapers)
Date: 2007-03-01
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