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A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls

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  • Perron, Pierre
  • Yamamoto, Yohei

Abstract

This note provides a simple proof for the problem of estimating and testing for multiple breaks in a single equation framework with regressors that are endogenous, i.e., correlated with the errors. We show based on standard assumptions about the regressors, instruments and errors that the second stage regression of the instrumental variable (IV) procedure involves regressors and errors that satisfy all the assumptions in Perron and Qu (2006) so that the results about consistency, rate of convergence and limit distributions of the estimates of the break dates, as well as the limit distributions of the tests, are obtained as simple consequences.
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Suggested Citation

  • Perron, Pierre & Yamamoto, Yohei, 2014. "A Note On Estimating And Testing For Multiple Structural Changes In Models With Endogenous Regressors Via 2sls," Econometric Theory, Cambridge University Press, vol. 30(02), pages 491-507, April.
  • Handle: RePEc:cup:etheor:v:30:y:2014:i:02:p:491-507_00
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    References listed on IDEAS

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    1. Otilia Boldea & Alastair Hall & Sanggohn Han, 2012. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," Econometric Reviews, Taylor & Francis Journals, vol. 31(1), pages 1-33.
    2. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
    3. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    4. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
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    Citations

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    Cited by:

    1. Alessandro Casini & Pierre Perron, "undated". "Generalized Laplace Inference in Multiple Change-Points Models," Boston University - Department of Economics - Working Papers Series WP2018-012, Boston University - Department of Economics.
    2. Oka, Tatsushi & Perron, Pierre, 2018. "Testing for common breaks in a multiple equations system," Journal of Econometrics, Elsevier, vol. 204(1), pages 66-85.
    3. Otilia Boldea & Alastair R. Hall & Adriana Cornea-Madeira, 2017. "Bootstrapping Structural Change Tests," The School of Economics Discussion Paper Series 1704, Economics, The University of Manchester.
    4. Seong Yeon Chang & Pierre Perron, 2018. "A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models," Econometric Reviews, Taylor & Francis Journals, vol. 37(6), pages 577-601, July.
    5. Seongyeon Chang & Pierre Perron, 2013. "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series 2013-023, Boston University - Department of Economics.
    6. Eiji Kurozumi & Yohei Yamamoto, 2015. "Confidence sets for the break date based on optimal tests," Econometrics Journal, Royal Economic Society, vol. 18(3), pages 412-435, October.
    7. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
    8. Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
    9. Alessandro Casini & Pierre Perron, 2015. "Continuous Record Asymptotics for Structural Change Models," Boston University - Department of Economics - Working Papers Series WP2018-010, Boston University - Department of Economics, revised Nov 2017.
    10. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    11. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    12. Yu, Ping, 2013. "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 120(3), pages 532-536.
    13. Qian, Junhui & Su, Liangjun, 2014. "Structural change estimation in time series regressions with endogenous variables," Economics Letters, Elsevier, vol. 125(3), pages 415-421.

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