Structural Breaks - An Instrumental Variable Approach
A 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.
|Date of creation:||Mar 2011|
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- Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the Maximum Partial Sum of Normal Deviates," Papers WP102, Economic and Social Research Institute (ESRI).
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March.
- 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, vol. 3(3), pages 297-318, August.
- Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
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