Performance of Methods Determining Structural Break in Linear Regression Models

Abstract

In this study, performance evaluation of some suggested approaches for the determination of structural break in a regression equation was studied. In this context, firstly the theoretical structure of some well-known methods on determination of structural break was considered by defining structural break problem. Suggested tests for the determination of the structural break may have performance differences under some factors. To demonstrate these differences, a simulation study in terms of effects of factors considered as performances of these methods. The results of the simulation revealed that the performances varies in terms of some structural features from the suggested methods for breakage determination.

Keywords

• Structural break,Linear regression models,Model stability

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