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Identifier to cite or link to this item: https://hdl.handle.net/10086/23262

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Title	Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions
Creator	Creator Name Yamamoto, Yohei Yamamoto, Yohei 山本, 庸平山本, 庸平 Affiliation Affiliation Name Hitotsubashi University
Creator	Creator Name Perron, Pierre Perron, Pierre Affiliation Affiliation Name Boston University
Editor	Contributor Name 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Key Word	multiple structural changes
	band spectral regression
	low frequency contaminations
	hours-productivity
	business-cycle
JEL	C14
JEL	C22
Abstract	We provide methods for estimating and testing multiple structural changes occurring at unknown dates in linear models using band spectral regressions. We consider changes over time within some frequency bands, permitting the coefficients to be different across frequency bands. Using standard assumptions, we show that the limit distributions obtained are similar to those in the time domain counterpart. We show that when the coefficients change only within some frequency band, we have increased efficiency of the estimates and power of the tests. We also discuss a very useful application related to contexts in which the data is contaminated by some low frequency process (e.g., level shifts or trends) and that the researcher is interested in whether the original non-contaminated model is stable.
Abstract	All that is needed to obtain estimates of the break dates and tests for structural changes that are not affected by such low frequency contaminations is to truncate a low frequency band that shrinks to zero at rate log(T)/T. Simulations show that the tests have good sizes for a wide range of truncations so that the method is quite robust. We analyze the stability of the relation between hours worked and productivity. When applying structural change tests in the time domain we document strong evidence of instabilities. When excluding a few low frequencies, none of the structural change tests are significant. Hence, the results provide evidence to the effect that the relation between hours worked and productivity is stable over any spectral band that excludes the lowest frequencies, in particular it is stable over the business-cycle band.
Description	41183
Publisher	Institute of Economic Research, Hitotsubashi University
Issued Date	2012-10
Language	English(eng)
Resource Type	technical report
Version Type	VoR
Is Part OfRelation -	Related Title Global COE Hi-Stat Discussion Paper Series ; No. 250
Number of Pages	36
Sponsorship	グローバルCOEプログラム = Global COE Program
Appears in Collections	Global COE Hi-Stat Discussion Paper Series
URL	https://hdl.handle.net/10086/23262