Inference regarding multiple structural changes in linear models with endogenous regressors

Alastair Hall, Sanggohn Han and Otilia Boldea

Journal of Econometrics, 2012, vol. 170, issue 2, 281-302

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.

Keywords: Structural change; Multiple break points; Instrumental variables estimation (search for similar items in EconPapers)
JEL-codes: C12 C13 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (65)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407612001182
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Inference regarding multiple structural changes in linear models with endogenous regressors (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:170:y:2012:i:2:p:281-302

DOI: 10.1016/j.jeconom.2012.05.006

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().