NSF Org:	SES Division of Social and Economic Sciences
Recipient:	MASSACHUSETTS INSTITUTE OF TECHNOLOGY
Initial Amendment Date:	August 19, 1994
Latest Amendment Date:	May 25, 1995
Award Number:	9414083
Award Instrument:	Continuing Grant
Program Manager:	Daniel H. Newlon SES  Division of Social and Economic Sciences SBE  Directorate for Social, Behavioral and Economic Sciences
Start Date:	August 15, 1994
End Date:	July 31, 1996 (Estimated)
Total Intended Award Amount:	$92,706.00
Total Awarded Amount to Date:	$92,706.00
Funds Obligated to Date:	FY 1994 = $45,271.00 FY 1995 = $47,435.00
History of Investigator:	Jushan Bai (Principal Investigator) jb3064@columbia.edu
Recipient Sponsored Research Office:	Massachusetts Institute of Technology 77 MASSACHUSETTS AVE CAMBRIDGE MA  US  02139-4301 (617)253-1000
Sponsor Congressional District:	07
Primary Place of Performance:	Massachusetts Institute of Technology 77 MASSACHUSETTS AVE CAMBRIDGE MA  US  02139-4301
Primary Place of Performance Congressional District:	07
Unique Entity Identifier (UEI):	E2NYLCDML6V1
Parent UEI:	E2NYLCDML6V1
NSF Program(s):	STATISTICS, Economics
Primary Program Source:	app-0194  app-0195
Program Reference Code(s):	0000, OTHR
Program Element Code(s):	126900, 132000
Award Agency Code:	4900
Fund Agency Code:	4900
Assistance Listing Number(s):	47.075

ABSTRACT

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.

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