02083cas a2200325 a 4500 AALejournalIMF004968 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451869378 1018-5941 BD-DhAAL BD-DhAAL Antoshin, Sergei. Testing for Structural Breaks in Small Samples / Sergei Antoshin, Andrew Berg, Marcos Souto. Washington, D.C. : International Monetary Fund, 2008. 1 online resource (27 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better. Mode of access: Internet Autocorrelation Coefficient imf Prob K imf Sample Size imf Serial Correlation imf WP imf Berg, Andrew. Souto, Marcos. IMF Working Papers; Working Paper ; No. 2008/075 Full text available on IMF http://elibrary.imf.org/view/journals/001/2008/075/001.2008.issue-075-en.xml IMF e-Library