Before revision:  Also of independent interest, we provide results about the rate of convergence  when searching over all possible partitions subject only to the requirement that each regime of different parameters contains at least as many observations as some positive fraction of the sample size . Simulation results show that the test has good finite sample properties.
After revision:  Also of independent interest, we provide results about the rate of convergence of the estimates when searching over all possible partitions subject only to the requirement that each regime of different parameters contains at least as many observations as some positive fraction of the sample size . Simulation results show that the test has good finite sample properties.