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Abstract

In this paper, we extend Bai and Perron’s 1998, Econometrica, p.47-78 framework for multiplebreak testing to linear models estimated via Two Stage Least Squares 2SLS. Within ourframework, the break points are estimated simultaneously with the regression parameters viaminimization of the residual sum of squares on the second step of the 2SLS estimation. Weestablish the consistency of the resulting estimated break point fractions. We show that variousF-statistics for structural instability based on the 2SLS estimator have the same limiting distributionas the analogous statistics for OLS considered by Bai and Perron 1998. This allows usto extend Bai and Perron’s 1998 sequential procedure for selecting the number of break pointsto the 2SLS setting. Our methods also allow for structural instability in the reduced form thathas been identified a priori using data-based methods. As an empirical illustration, our methodsare used to assess the stability of the New Keynesian Phillips curve.



Item Type: MPRA Paper -

Original Title: Inference regarding multiple structural changes in linear models estimated via two stage least squares-

Language: English-

Keywords: unknown break points; structural change; instrumental variables; endogenous regressors; structural stability tests; new Keynesian Phillips curve-

Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: GeneralC - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: GeneralC - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion ProcessesC - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics-





Autor: Hall, Alastair R.

Fuente: https://mpra.ub.uni-muenchen.de/9251/







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