Bootstrapping structural change tests

Otilia Boldea, Adriana Cornea-Madeira and Alastair R. Hall

Journal of Econometrics, 2019, vol. 213, issue 2, 359-397

Abstract: This paper demonstrates the asymptotic validity of methods based on the wild recursive and wild fixed bootstraps for testing hypotheses about discrete parameter change in linear models estimated via Two Stage Least Squares. The framework allows for the errors to exhibit conditional and/or unconditional heteroscedasticity, and for the reduced form to be unstable. Simulation evidence indicates the bootstrap tests yield reliable inferences in the sample sizes often encountered in macroeconomics. If the errors exhibit unconditional heteroscedasticity and/or the reduced form is unstable then the bootstrap methods are particularly attractive because the limiting distributions of the test statistics are not pivotal.

Keywords: Multiple break points; Instrumental variables estimation; Two-Stage Least Squares; Wild bootstrap; Heteroskedasticity (search for similar items in EconPapers)
JEL-codes: C12 C13 C15 C22 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Bootstrapping Structural Change Tests (2018)
Working Paper: Bootstrapping Structural Change Tests (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:213:y:2019:i:2:p:359-397

DOI: 10.1016/j.jeconom.2019.05.019

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