Structural Breaks - An Instrumental Variable Approach

Denis Conniffe and Robert Kelly ()

No 4/RT/11, Research Technical Papers from Central Bank of Ireland

Abstract: 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.

Keywords: Structural Break Test; Structural Break Estimation; Instrumental Variable (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2011-03
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