Regression Models

When two or more variables are observed concurrently, it is often of interest to evaluate whether their relationship appears to stay constant over time, or if instead it appears to change. A simple framework to address questions of this type is when the variables are related to each other through a parametric regression model. In this case a change in the relationship may be characterized by a change in the model parameters. This chapter is devoted to the development of asymptotic methods to perform change point analysis in the context of regression models.