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Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments

https://doi.org/10.2139/ssrn.5385259
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
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Change point estimation in panel data with time‐varying individual effects
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Multiple Structural Breaks in Interactive Effects Panel Data Models
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Computation and analysis of multiple structural change models
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Change Point Analysis for Time Series
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A survey of methods for time series change point detection
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Estimating the number of change-points via Schwarz' criterion
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Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
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Anchored inflation expectations and the slope of the Phillips curve
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Estimating restricted structural change models
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Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
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Testing for structural breaks in dynamic factor models
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Model selection criteria in multivariate models with multiple structural changes
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Inference regarding multiple structural changes in linear models with endogenous regressors
inferredcites →https://doi.org/10.1016/j.jeconom.2012.09.004openalex-snapshot
Estimation and inference in unstable nonlinear least squares models
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Consistent factor estimation in dynamic factor models with structural instability
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Detecting big structural breaks in large factor models
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Testing for structural stability of factor augmented forecasting models
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Estimation of heterogeneous panels with structural breaks
inferredcites →https://doi.org/10.1016/j.jeconom.2015.06.018openalex-snapshot
Testing for factor loading structural change under common breaks
inferredcites →https://doi.org/10.1016/j.jeconom.2015.09.004openalex-snapshot
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
inferredcites →https://doi.org/10.1016/j.jeconom.2018.01.005openalex-snapshot
Testing for parameter instability in predictive regression models
inferredcites →https://doi.org/10.1016/j.jeconom.2018.02.005openalex-snapshot
Efficient estimation with time-varying information and the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.1016/j.jeconom.2019.05.019openalex-snapshot
Bootstrapping structural change tests
inferredcites →https://doi.org/10.1016/j.jeconom.2019.08.013openalex-snapshot
Estimation and Inference of Change Points in High Dimensional Factor Models
inferredcites →https://doi.org/10.1016/j.jeconom.2020.04.005openalex-snapshot
Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes
inferredcites →https://doi.org/10.1016/j.jeconom.2020.04.009openalex-snapshot
Heterogeneous structural breaks in panel data models
inferredcites →https://doi.org/10.1016/j.jeconom.2022.01.001openalex-snapshot
Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients
inferredcites →https://doi.org/10.1016/j.jeconom.2023.105631openalex-snapshot
The likelihood ratio test for structural changes in factor models
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Panel data models with time-varying latent group structures
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Estimating coefficient-by-coefficient breaks in panel data models
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Origins of monetary policy shifts: A New approach to regime switching in DSGE models
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The effects of quasi-random monetary experiments
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High dimensional change point inference: Recent developments and extensions
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Learning and monetary policy shifts
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Asymmetric expectation effects of regime shifts in monetary policy
inferredcites →https://doi.org/10.1016/j.sigpro.2019.107299openalex-snapshot
Selective review of offline change point detection methods
inferredcites →https://doi.org/10.1016/j.spl.2004.10.037openalex-snapshot
Information criterion for Gaussian change-point model
inferredcites →https://doi.org/10.1016/s0167-2231(76)80006-1openalex-snapshot
Econometric policy evaluation: A critique
inferredcites →https://doi.org/10.1016/s0304-4076(03)00089-7openalex-snapshot
The large sample behaviour of the generalized method of moments estimator in misspecified models
inferredcites →https://doi.org/10.1016/s0304-4076(99)00068-8openalex-snapshot
Testing for structural change in conditional models
inferredcites →https://doi.org/10.1016/s0954-349x(99)00011-9openalex-snapshot
Two further aspects of some new tests for structural stability
inferredcites →https://doi.org/10.1017/cbo9781139164863.010openalex-snapshot
Multiple Structural Change Models: A Simulation Analysis
inferredcites →https://doi.org/10.1017/s0266466610000290openalex-snapshot
PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
inferredcites →https://doi.org/10.1017/s0266466614000486openalex-snapshot
TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
inferredcites →https://doi.org/10.1017/s0266466615000237openalex-snapshot
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
inferredcites →https://doi.org/10.1080/01621459.2014.920613openalex-snapshot
Detection of Multiple Structural Breaks in Multivariate Time Series
inferredcites →https://doi.org/10.1080/01621459.2015.1119696openalex-snapshot
Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks
inferredcites →https://doi.org/10.1080/07350015.1999.10524822openalex-snapshot
Structural Stability Testing in Models Estimated by Generalized Method of Moments
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FRED-MD: A Monthly Database for Macroeconomic Research
inferredcites →https://doi.org/10.1080/07350015.2022.2053690openalex-snapshot
Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
inferredcites →https://doi.org/10.1080/07474938.2017.1307523openalex-snapshot
The asymptotic behaviour of the residual sum of squares in models with multiple break points
inferredcites →https://doi.org/10.1093/acrefore/9780190625979.013.179openalex-snapshot
Structural Breaks in Time Series
inferredcites →https://doi.org/10.1093/ectj/utaf004openalex-snapshot
Inference for local projections
inferredcites →https://doi.org/10.1093/restud/rdw005openalex-snapshot
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
inferredcites →https://doi.org/10.1109/icphm.2019.8819394openalex-snapshot
Online change detection techniques in time series: An overview
inferredcites →https://doi.org/10.1111/1368-423x.00102openalex-snapshot
Critical values for multiple structural change tests
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-snapshot
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/1468-0262.00405openalex-snapshot
Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum
inferredcites →https://doi.org/10.1111/ecoj.12593openalex-snapshot
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00692.xopenalex-snapshot
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00754.xopenalex-snapshot
Estimating and Testing Structural Changes in Multivariate Regressions
inferredcites →https://doi.org/10.1111/manc.12017openalex-snapshot
Inference on Structural Breaks using Information Criteria
inferredcites →https://doi.org/10.1111/rssb.12079openalex-snapshot
Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
inferredcites →https://doi.org/10.1146/annurev-economics-082222-065846openalex-snapshot
Local Projections for Applied Economics
inferredcites →https://doi.org/10.1162/003355300554692openalex-snapshot
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
inferredcites →https://doi.org/10.1162/rest.88.3.445openalex-snapshot
Has Monetary Policy Become More Effective?
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Testing and estimating structural breaks in time series and panel data in Stata
inferredcites →https://doi.org/10.1198/016214502388618960openalex-snapshot
Forecasting Using Principal Components From a Large Number of Predictors
inferredcites →https://doi.org/10.1198/016214505000000745openalex-snapshot
Structural Break Estimation for Nonstationary Time Series Models
inferredcites →https://doi.org/10.1214/16-sts587openalex-snapshot
Multiple Change-Point Detection: A Selective Overview
inferredcites →https://doi.org/10.1257/0002828053828518openalex-snapshot
Estimation and Inference of Impulse Responses by Local Projections
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Are Government Spending Multipliers Greater during Periods of Slack? Evidence from Twentieth-Century Historical Data
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Local Projections
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State-Dependent Government Spending Multipliers: Downward Nominal Wage Rigidity and Sources of Business Cycle Fluctuations
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Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks
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Determination of the Number of Breaks in Heterogeneous Panel Data Models
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Local Projections, Autocorrelation, and Efficiency
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State-Dependent Local Projections: Understanding Impulse Response Heterogeneity
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Efficient Two-Sample Instrumental Variable Estimators with Change Points and Near-Weak Identification
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Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
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Approximate Asymptotic P Values for Structural-Change Tests
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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
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Inference in Nonlinear Econometric Models with Structural Change
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Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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Tests for Parameter Instability and Structural Change With Unknown Change Point
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Estimating and Testing Linear Models with Multiple Structural Changes
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Anchored Inflation Expectations and the Slope of the Phillips Curve
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Estimation of structural breaks in nonstationary time series
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State Dependent Government Spending Multipliers: Downward Nominal Wage Rigidity and Sources of Business Cycle Fluctuations
inferredcites →https://doi.org/10.3386/w6442openalex-snapshot
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory
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Identification Using Stability Restrictions
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Testing jointly for structural changes in the error variance and coefficients of a linear regression model
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Local projections, autocorrelation, and efficiency
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Testing structural stability in macroeconometric models
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Change Point Estimation in Panel Data with Time-Varying Individual Effects
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Optimal Change-point Testing for High-dimensional Linear Models with Temporal Dependence
inferredcites →https://doi.org/10.48550/arxiv.2206.08052openalex-snapshot
Likelihood ratio test for structural changes in factor models
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Change-Point Detection in Time Series Using Mixed Integer Programming
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A Unified Framework for Change Point Detection in High-Dimensional Linear Models
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Fiscal Multipliers in Recession and Expansion
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Inference in Econometric Models with Structural Change
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