EconPapers    
Economics at your fingertips  
 

Bootstrapping Structural Change Tests

Otilia Boldea (), Adriana Cornea-Madeira () and Alastair R. Hall
Additional contact information
Alastair R. Hall: University of Manchester

Papers from arXiv.org

Abstract: This paper analyses the use of bootstrap methods to test for parameter change in linear models estimated via Two Stage Least Squares (2SLS). Two types of test are considered: one where the null hypothesis is of no change and the alternative hypothesis involves discrete change at k unknown break-points in the sample; and a second test where the null hypothesis is that there is discrete parameter change at l break-points in the sample against an alternative in which the parameters change at l + 1 break-points. In both cases, we consider inferences based on a sup-Wald-type statistic using either the wild recursive bootstrap or the wild fixed bootstrap. We establish the asymptotic validity of these bootstrap tests under a set of general conditions that allow the errors to exhibit conditional and/or unconditional heteroskedasticity, and report results from a simulation study that indicate the tests yield reliable inferences in the sample sizes often encountered in macroeconomics. The analysis covers the cases where the first-stage estimation of 2SLS involves a model whose parameters are either constant or themselves subject to discrete parameter change. If the errors exhibit unconditional heteroskedasticity 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.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2018-11
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1811.04125 Latest version (application/pdf)

Related works:
Working Paper: Bootstrapping Structural Change Tests (2017) Downloads
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:arx:papers:1811.04125

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-04-08
Handle: RePEc:arx:papers:1811.04125