Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments
宏观计量中多重变点检验:实证指南与近期进展
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…