A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Pierre Perron and Yohei Yamamoto

Econometric Theory, 2014, vol. 30, issue 2, 491-507

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. We show based on standard assumptions about the regressors, instruments, and errors that the second-stage regression of the instrumental variable procedure involves regressors and errors that satisfy all the assumptions in Perron and Qu (2006, Journal of Econometrics 134, 373–399) so that the results about consistency, rate of convergence and limit distributions of the estimates of the break dates, in addition to the limit distributions of the tests, are obtained as simple consequences. The results are obtained within a unified framework for various cases about the nature of the reduced form: stable, no structural changes but time variations in the parameters, structural changes at dates that are common to those of the structural form, and structural changes occurring at arbitrary dates.

Date: 2014
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Working Paper: A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS (2011)
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