{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,11,3]],"date-time":"2026-11-03T04:03:15Z","timestamp":1793678595959,"version":"4.5.1"},"reference-count":12,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4273,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econ Theory"],"published-print":{"date-parts":[[1997,6]]},"abstract":"<jats:p>Sequential (one-by-one) rather than simultaneous estimation of multiple breaks is investigated in this paper. The advantage of this method lies in its computational savings and its robustness to misspecification in the number of breaks. The number of least-squares regressions required to compute all of the break points is of order <jats:italic>T<\/jats:italic>, the sample size. Each estimated break point is shown to be consistent for one of the true ones despite underspecification of the number of breaks. More interestingly and somewhat surprisingly, the estimated break points are shown to be <jats:italic>T<\/jats:italic>-consistent, the same rate as the simultaneous estimation. Limiting distributions are also derived. Unlike simultaneous estimation, the limiting distributions are generally not symmetric and are influenced by regression parameters of all regimes. A simple method is introduced to obtain break point estimators that have the same limiting distributions as those obtained via simultaneous estimation. Finally, a procedure is proposed to consistently estimate the number of breaks.<\/jats:p>","DOI":"10.1017\/s0266466600005831","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:36:14Z","timestamp":1236699374000},"page":"315-352","source":"Crossref","is-referenced-by-count":625,"title":["Estimating Multiple Breaks One at a Time"],"prefix":"10.1017","volume":"13","author":[{"given":"Jushan","family":"Bai","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600005831_ref004","unstructured":"Bai J. & Perron P. (1994) Testing for and Estimation of Multiple Structural Changes! Manuscript, Department of Economics, MIT, Cambridge, Massachusetts."},{"key":"S0266466600005831_ref011","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"},{"key":"S0266466600005831_ref005","unstructured":"Burdekin R.C.K. & Siklos CM. (1995) Exchange Rate Regimes and Inflation Persistence: Further Evidence. Manuscript, Department of Economics, University of California at San Diego."},{"key":"S0266466600005831_ref012","doi-asserted-by":"publisher","DOI":"10.1016\/0167-7152(88)90118-6"},{"key":"S0266466600005831_ref007","unstructured":"Cooper S.J. (1995) Multiple Regimes in U.S. Output Fluctuations. Manuscript, Kennedy School of Government, Harvard University, Cambridge, Massachusetts."},{"key":"S0266466600005831_ref002","unstructured":"Bai J. (1994a) Estimation of Structural Change based on Wald Type Statistics. Working paper 94-6, Department of Economics, MIT, Cambridge, Massachusetts (forthcoming in Review of Economics and Statistics)."},{"key":"S0266466600005831_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/2109851"},{"key":"S0266466600005831_ref006","unstructured":"Chong T.T.-L. (1994) Consistency of Change-Point Estimators When the Number of Change-Points in Structural Change Models Is Underspecified. Manuscript, Department of Economics, University of Rochester, Rochester, New York."},{"key":"S0266466600005831_ref008","doi-asserted-by":"publisher","DOI":"10.1080\/03610928108828182"},{"key":"S0266466600005831_ref010","unstructured":"Lumsdaine R.L. and Papell D.H. (1995) Multiple Trend Breaks and the Unit Root Hypothesis. Manuscript, Princeton University."},{"key":"S0266466600005831_ref001","doi-asserted-by":"publisher","DOI":"10.2307\/2951753"},{"key":"S0266466600005831_ref003","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1994.tb00204.x"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600005831","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,11]],"date-time":"2019-05-11T20:53:19Z","timestamp":1557607999000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600005831\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1997,6]]},"references-count":12,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1997,6]]}},"alternative-id":["S0266466600005831"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600005831","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1997,6]]}}}