  The paper considers a linear regression model with multiple change-points
occurring at unknown times. The LASSO technique is very interesting since it
allows the parametric estimation, including the change-points, and automatic
variable selection simultaneously. The asymptotic properties of the LASSO-type
(which has as particular case the LASSO estimator) and of the adaptive LASSO
estimators are studied. For this last estimator the oracle properties are
proved. In both cases, a model selection criterion is proposed. Numerical
examples are provided showing the performances of the adaptive LASSO estimator
compared to the LS estimator.
