Otilia Boldea, Alastair R. Hall
arXiv 29 Jul 2025 · Econometrics
arXiv:2507.22204 · PDF · DOI · OpenAlex · Extracted main text
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it focuses on inference about the change-points in slope parameters, rather than in the mean of the dependent variable - the latter being common in the statistical literature; (2) it focuses on detecting - via sequential testing and other methods - multiple change-points, and only discusses one change-point when methods for multiple change-points are not available; (3) it is meant as a practitioner's guide for empirical macroeconomists first, and as a result, it focuses only on the methods derived under the most general assumptions relevant to macroeconomic applications.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bai and Perron (1998) `Estimating and testing linear models with multiple structural changes', Econometrica\/, 66: 47–78 | 1.000 | 22 | 4 | 100% |
| 2 | Bai and Perron (2003) `Computation and analysis of multiple structural change models', Journal of Applied Econometrics\/, 18: 1–23 | 0.928 | 4 | 3 | 100% |
| 3 | Boldea, Cornea-Madeira, and Hall (2019) `Bootstrapping structural change tests', Journal of Econometrics\/, 213: 359–397 self | 0.874 | 12 | 2 | 100% |
| 4 | Hall, Han, and Boldea (2012) `Inference regarding multiple structural changes in linear models with endogenous regressors', Journal of Econometrics\/, 170: 2… self | 0.874 | 7 | 2 | 100% |
| 5 | Antoine, Boldea, and Zaccaria (2024) `Efficient two-sample instrumental variable estimators with change points and near-weak identification', arXiv preprint arXiv:24… | 0.811 | 4 | 2 | 100% |
| 6 | Andrews (1993) `Tests for parameter instability and structural change with unknown change point', Econometrica\/, 61: 821–856 | 0.737 | 3 | 2 | 100% |
| 7 | Horváth and Rice (2025) Change Point Analysis for Time Series\/ | 0.737 | 3 | 2 | 100% |
| 8 | Perron and Yamamoto (2015) `Using OLS to estimate and test for structural changes in models with endogenous regressors', Journal of Applied Econometrics\/,… | 0.737 | 3 | 2 | 100% |
| 9 | Han and Inoue (2015) `Tests for parameter instability in dynamic factor models', Econometric Theory\/, 31: 1117–1152 | 0.693 | 8 | 1 | 100% |
| 10 | Baltagi, Kao, and Wang (2021) `Estimating and testing high dimensional factor models with multiple structural changes', Journal of Econometrics\/, 220: 349–365 | 0.693 | 7 | 1 | 100% |
Showing the top 10 of 109 scored citations.