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Structural Break WLS

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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Weighted Least Squares with Structural Break Correction

Taksonoomiline meetodikirje · regression-model / econometrics

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

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