A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS

Pierre Perron and Yohei Yamamoto

No WP2011-054, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: This note provides a simple proof for the problem of estimating and testing for multiple breaks in a single equation framework with regressors that are endogenous, i.e., correlated with the errors. We show based on standard assumptions about the regressors, instruments and errors that the second stage regression of the instrumental variable (IV) procedure involves regressors and errors that satisfy all the assumptions in Perron and Qu (2006) so that the results about consistency, rate of convergence and limit distributions of the estimates of the break dates, as well as the limit distributions of the tests, are obtained as simple consequences.

Keywords: structural change; instrument variables; parameter variations (search for similar items in EconPapers)
Pages: 15 pages
Date: 2011-01
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Citations: View citations in EconPapers (4)

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Journal Article: A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS (2014)
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