Hostname: page-component-586b7cd67f-dsjbd Total loading time: 0 Render date: 2024-11-22T04:28:09.329Z Has data issue: false hasContentIssue false
  • English
  • Français

A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Published online by Cambridge University Press:  10 October 2013

Pierre Perron  and
Yohei Yamamoto
Pierre Perron*
Affiliation:
Boston University
Yohei Yamamoto
Affiliation:
Hitotsubashi University
*
*Address correspondence to Pierre Perron, Department of Economics, Boston University, 270 Bay State Rd., Boston, MA, 02215, USA; e-mail: ([email protected]).
Get access Rights & Permissions [Opens in a new window]

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. We show based on standard assumptions about the regressors, instruments, and errors that the second-stage regression of the instrumental variable procedure involves regressors and errors that satisfy all the assumptions in Perron and Qu (2006, Journal of Econometrics 134, 373–399) so that the results about consistency, rate of convergence and limit distributions of the estimates of the break dates, in addition to the limit distributions of the tests, are obtained as simple consequences. The results are obtained within a unified framework for various cases about the nature of the reduced form: stable, no structural changes but time variations in the parameters, structural changes at dates that are common to those of the structural form, and structural changes occurring at arbitrary dates.

Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 2 , April 2014 , pp. 491 - 507
Copyright
Copyright © Cambridge University Press 2013 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Bai, J. & Perron, P. (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66, 47–78.Google Scholar
Bai, J. & Perron, P. (2003) Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18, 1–22.Google Scholar
Boldea, O., Hall, A.R., & Han, S. (2012) Asymptotic distribution theory for break point estimators in models estimated via 2SLS. Econometric Reviews 31, 1–33.Google Scholar
Carrion-i-Silvestre, J.L., Kim, D., & Perron, P. (2009) GLS-based unit root tests with multiple structural breaks under both the null and alternative hypotheses. Econometric Theory 25, 1754–1792.Google Scholar
Hall, A.R, Han, S., & Boldea, O. (2012) Inference regarding multiple structural changes in linear models with endogenous regressors. Journal of Econometrics 170, 281–302.Google Scholar
Han, S. (2006) Inference regarding multiple structural changes in linear models estimated via two stage least squares. PhD Dissertation, North Carolina State University.Google Scholar
Hansen, B.E. (2000) Testing for structural change in conditional models. Journal of Econometrics 97, 93–115.Google Scholar
Harris, D., Harvey, D.I., Leybourne, S.J., & Taylor, A.M.R. (2009) Testing for a unit root in the presence of a possible break in trend. Econometric Theory 25, 1545–1588.CrossRefGoogle Scholar
Harvey, D.I., Leybourne, S.J., & Taylor, A.M.R. (2009) Simple, robust, and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029.Google Scholar
Hsiao, C. & Pesaran, H. (2008) Random coefficient models. In Mátyás, L. & Sevestre, P. (eds.), The Econometrics of Panel Data, pp. 185–213. Springer-Verlag.Google Scholar
Kejriwal, M., Perron, P., & Zhou, J. (2013) Wald tests for detecting multiple structural changes in persistence. Econometric Theory, 29, 289–323.Google Scholar
Kim, D. & Perron, P. (2009) Unit root tests allowing for a break in the trend function under both the null and alternative hypotheses. Journal of Econometrics 148, 1–13.Google Scholar
Oka, T. & Perron, P. (2011) Testing for Common Breaks in a Multiple Equations System. Manuscript, Department of Economics, Boston University.Google Scholar
Perron, P. (2006) Dealing with structural breaks. In Patterson, K. & Mills, T.C. (eds.), Palgrave Handbook of Econometrics, vol. 1: Econometric Theory, pp. 278–352. Palgrave Macmillan.Google Scholar
Perron, P. & Qu, Z. (2006) Estimating restricted structural change models. Journal of Econometrics 134, 373–399.Google Scholar
Perron, P. & Yabu, T. (2009) Testing for shifts in trend with an integrated or stationary noise component. Journal of Business & Economic Statistics 27, 369–396.Google Scholar
Perron, P. & Yamamoto, Y. (2013) Using OLS to estimate and test for structural changes in models with endogenous regressors. Journal of Applied Econometrics, DOI: 10.1002/jae.2320.Google Scholar
Sayginsoy, Ö. & Vogelsang, T.J. (2011) Testing for a shift in trend at an unknown date: A fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests. Econometric Theory 27, 992–1025.Google Scholar