Inference for the Break Point in Segmented Regression with Application to Longitudinal Data

This paper considers inference for the break point in the segmented regression or piece‐wise regression model. Standard likelihood theory does not apply because the break point is absent under the null hypothesis. We use results by Davies for this type of non‐standard set‐up [ Biometrika 64 (1977), 247–254 and 74 (1987), 33–43] to obtain a test for the null hypothesis of no break point. A confidence interval can be constructed provided replicate data are available. The methods are exemplified using two longitudinal datasets, the one from ecology, the other from pharmacology.