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PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION

Published online by Cambridge University Press:  27 August 2010

Mehmet Caner
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Abstract

Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, Journal of Econometrics 137, 28–67) by means of a simple reparametrization of the model.

Type
Brief Report
Information
Econometric Theory , Volume 27 , Issue 2 , April 2011 , pp. 413 - 426
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

I thank editor Peter C.B. Phillips, co-editor Richard J. Smith, and the two anonymous referees for their comments that improved the paper substantially.

References

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