PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION

Mehmet Caner

Econometric Theory, 2011, vol. 27, issue 2, 413-426

Abstract: Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, Journal of Econometrics 137, 28–67) by means of a simple reparametrization of the model.

Date: 2011
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