Constrained inference in multiple regression with structural changes

Abstract In this paper, we study an inference problem for the regression coefficients in some multivariate regression models with multiple change-points occurring at unknown times, when the regression coefficients may satisfy some restrictions. The hypothesized restriction is more general than that given in recent literature. Under a weaker assumption than that given in recent literature, we derive the joint asymptotic normality of the restricted and unrestricted estimators. Finally, we construct a test for the hypothesized restriction and derive its asymptotic power.