Estimation of a Single Structural Equation with Structural Change

Jiro Hodoshima

Econometric Theory, 1988, vol. 4, issue 1, 86-96

Abstract: Estimation of a single structural equation when there exists structural change is considered. Equality of structural variances in different samples is shown to affect the identification condition and asymptotic efficiency of best asymptotically normal estimators when the reduced-form covariance matrices differ by the structural change. The limited information maximum likelihood estimator is presented with its asymptotic property and compared with an alternative estimator.

Date: 1988
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