Regression modelEconometrics / time series

Structural Break WLS (Weighted Least Squares with Structural Break Correction)

Structural Break WLS combines Weighted Least Squares estimation with explicit detection and correction for structural breaks — abrupt regime shifts — in the data. By identifying break points and assigning observation-level weights that account for heteroscedasticity within and across regimes, the estimator delivers consistent, efficient coefficient estimates even when the error variance changes dramatically at a break.

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Sources

  1. Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. DOI: 10.2307/2998540
  2. Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860

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Referenced by

ScholarGateStructural Break WLS (Weighted Least Squares with Structural Break Correction). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/structural-break-wls