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Inference regarding multiple structural changes in linear models with endogenous regressors

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  • Alastair R. Hall
  • Sanggohn Han
  • Otilia Boldea

Abstract

We are grateful to Denise Osborn and Eric Renault for valuable comments and to Nikolaos Sakkas for assistance with the computations. The paper has also benefited from the comments of a co-editor and three anonymous referees. An earlier version of this paper was circulated under the title “Inference regarding multiple structural changes in linear models estimated via 2SLS” which was presented at the World Congress of the Econometric Society, London, August 19-24, 2005, the Triangle Econometrics Conference, RTP, NC, December 2, 2005, CIREQ Conference on Generalized Method of Moments, Montreal, November 16-17, 2007, the ESRC Econometrics group seminar at the Institute of Fiscal Studies, London, the London-Oxbridge Time Series Workshop and at seminars at Erasmus University and the Universities of Birmingham and Warwick. We are also very grateful to Chengsi Zhang and Denise Osborn for providing us with the data used in the empirical example. The first author acknowledges the support of the ESRC grant RES-062-23-1351.

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Bibliographic Info

Paper provided by Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 125.

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Length: 67 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:man:cgbcrp:125

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  1. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
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Cited by:
  1. Boldea, Otilia & Hall, Alastair R., 2010. "Estimation and inference in unstable nonlinear least squares models," MPRA Paper 23150, University Library of Munich, Germany.
  2. Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
  3. Cornea, A. & Hommes, C.H. & Massaro, D., 2012. "Behavioral Heterogeneity in U.S. Inflation Dynamics," CeNDEF Working Papers 12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
  5. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
  6. Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.

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