Structural Breaks - An Instrumental Variable Approach
AbstractA structural change test and corresponding change estimator of an instrumental variable nature are proposed. The strengths of the approach lie in its ease of application and the strong test power. It does not suffer from critical value adjustments required by the CUSUM type tests and is unique in that it tests and measures the size of the break in one operation. The power of this test is compared to others in the literature, both algebraically and through simulations, with favourable results.
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Bibliographic InfoPaper provided by Central Bank of Ireland in its series Research Technical Papers with number 4/RT/11.
Date of creation: Mar 2011
Date of revision:
Structural Break Test; Structural Break Estimation; Instrumental Variable;
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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- Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0574, Econometric Society.
- Farley, John U. & Hinich, Melvin & McGuire, Timothy W., 1975. "Some comparisons of tests for a shift in the slopes of a multivariate linear time series model," Journal of Econometrics, Elsevier, Elsevier, vol. 3(3), pages 297-318, August.
- Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the Maximum Partial Sum of Normal Deviates," Papers, Economic and Social Research Institute (ESRI) WP102, Economic and Social Research Institute (ESRI).
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 271-85, March.
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