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Inference regarding multiple structural changes in linear models with endogenous regressors

Author

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  • Hall, Alastair R.
  • Han, Sanggohn
  • Boldea, Otilia

Abstract

This paper considers the linear model with endogenous regressors and multiple changes in the parameters at unknown times. It is shown that minimization of a Generalized Method of Moments criterion yields inconsistent estimators of the break fractions, but minimization of the Two Stage Least Squares (2SLS) criterion yields consistent estimators of these parameters. We develop a methodology for estimation and inference of the parameters of the model based on 2SLS. The analysis covers the cases where the reduced form is either stable or unstable. The methodology is illustrated via an application to the New Keynesian Phillips Curve for the US.

Suggested Citation

  • Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
  • Handle: RePEc:eee:econom:v:170:y:2012:i:2:p:281-302
    DOI: 10.1016/j.jeconom.2012.05.006
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    References listed on IDEAS

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    Keywords

    Structural change; Multiple break points; Instrumental variables estimation;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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