In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the...

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the...

to enable proper empirical applications. We provide response surface regressions valid for a wide range of parameters. Copyright Royal Economic Society, 2003

This paper develops the statistical theory for testing and estimating multiple change points in regression models. The rate of convergence and limiting distribution for the estimated parameters are obtained. Several test statistics are proposed to determine the existence as well as the number of...

We propose a simple method for estimating betas (factor loadings) when factors are measured with error: Ordinary Least-squares Instrumental Variable Estimator (OLIVE). OLIVE is intuitive and easy to implement. OLIVE performs well when the number of instruments becomes large (can be larger than...