IDEAS home Printed from https://ideas.repec.org/a/taf/jnlbes/v42y2024i1p95-108.html
   My bibliography  Save this article

Estimation of a Structural Break Point in Linear Regression Models

Author

Listed:
  • Yaein Baek

Abstract

This study proposes a point estimator of the break location for a one-time structural break in linear regression models. If the break magnitude is small, the least-squares estimator of the break date has two modes at the ends of the finite sample period, regardless of the true break location. To solve this problem, I suggest an alternative estimator based on a modification of the least-squares objective function. The modified objective function incorporates estimation uncertainty that varies across potential break dates. The new break point estimator is consistent and has a unimodal finite sample distribution under small break magnitudes. A limit distribution is provided under an in-fill asymptotic framework. Monte Carlo simulation results suggest that the new estimator outperforms the least-squares estimator. I apply the method to estimate the break date in U.S. and U.K. stock return prediction models.

Suggested Citation

  • Yaein Baek, 2024. "Estimation of a Structural Break Point in Linear Regression Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(1), pages 95-108, January.
    • Handle: RePEc:taf:jnlbes:v:42:y:2024:i:1:p:95-108
    DOI: 10.1080/07350015.2022.2154777
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07350015.2022.2154777
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07350015.2022.2154777?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jnlbes:v:42:y:2024:i:1:p:95-108. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/UBES20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.