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Pivotal Structural Change Tests In Linear Simultaneous Equations With Weak Identification

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  • Caner, Mehmet

Abstract

Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, Journal of Econometrics 137, 28–67) by means of a simple reparametrization of the model.

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  • Caner, Mehmet, 2011. "Pivotal Structural Change Tests In Linear Simultaneous Equations With Weak Identification," Econometric Theory, Cambridge University Press, vol. 27(2), pages 413-426, April.
    • Handle: RePEc:cup:etheor:v:27:y:2011:i:02:p:413-426_00
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    Cited by:

    1. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    2. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
    3. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.

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