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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: (perron@bu.edu).
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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 

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References

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