Identification of Changes in Mean with Regression Trees: An Application to Market Research

Abstract

In this article we present a computationally efficient method for finding multiple structural breaks at unknown dates based on regression trees. We outline the procedure and present the results of a simulation study to assess the performance of the method and to compare it with the procedure proposed by Bai and Perron. We find the tree-based method performs well in long series which are impractical to analyze with current methods. We apply these methods plus the CUSUM test to the market share of Crest toothpaste between 1958 and 1963.

Keywords:

• Identification of multiple structural breaks at unknown times
• Time series analysis

JEL Classification:

• C01
• C14
• C32