Estimating Structural Change in Linear Simultaneous Equations

Weihong Huang () and Yang Zhang

No 110, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: Tests and estimation for changes in the coefficients of linear regression models, particularly the analysis of covariance and the Chow tests, are well known to econometricians and are widely used. This paper demonstrates that analogous estimation can also be constructed in simultaneous equation models when equations are estimated by common estimator like OLS, 2SLS and LIML. In the present paper, we discuss the problem of estimating structural changes in equations from a simultaneous structural economic model. We consider the case of possible multiple switching of the parameters at unknown sample points and investigate the simultaneous estimation of multiple structural changing points along with the regression coefficients within subdomains. A regressive segmentation method will be used which is based on the principle of dynamic programming and allow global minimizers to be obtained using a number of sums of squared residual

Keywords: Structural Change; Simultaneous Equations (search for similar items in EconPapers)
JEL-codes: C3 C5 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:110

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