GMM Estimation of Multiple Sturctural Changes

9414083 Bai本项目开发了一种新的、统一的计量经济学理论，用于检验和估计在未知时间发生模型参数变化的各种计量经济学模型中的多重结构变化。经济理论和实证应用的最新发展表明，需要一种多重结构变化的计量经济学理论。虽然单一结构变化的案例受到了相当大的关注，但对多重结构变化的研究却很少。本研究的目标是通过扩展该领域主要研究者的先前工作，在连贯的基础上发展多重结构变化的计量经济学理论。该项目回答了与多个结构变化有关的许多问题。解决的问题包括：1)确定给定数据集中的状态变化（模型参数不变的时期）；2)检验无结构移位假说与多重结构移位假说，更一般地检验k移位假说与k+l移位假说；3)临界值的确定和标准参考表的构建；4)多重结构变化模型的估计及移位点估计准则的确定；5)解决多移估计的计算问题；6)得到估计量的统计性质和移位点的估计。

9414083 Bai This project develops a new and unified econometric theory for the testing and estimation of multiple structural changes in a variety of econometric models where changes in the parameters of the model occur at unknown times. Recent developments in economic theory as well as in empirical applications have shown the need for an econometric theory of multiple structural changes. Although the case of a single structural change has received considerable attention, research on the subject of multiple structural changes is scant. The goal of this research is to develop on a coherent basis the econometric theory of multiple structural changes by extending previous work of the principle investigator in this area. This project answers a number of questions pertaining to multiple structural changes. Among the issues addressed are: 1) Determination of the changes of regimes (periods during which the parameters of a model do not change) in a given data set; 2) Testing the hypothesis of no structural shift versus that of multiple structural shifts, And, more generally, testing k shifts versus k+l shifts; 3) Determination of critical values and construction of standard reference tables; 4) Estimation of models with multiple structural changes and determination of the criteria for estimating the shift points; 5) Solving the computational problem for multiple-shift estimation; and 6) Deriving the statistical properties of the resulting estimators and the estimated shift points.