Inference regarding multiple structural changes in linear models with endogenous regressors()

This paper considers the linear model with endogenous regressors and multiple changes in the parameters at unknown times. It is shown that minimization of a Generalized Method of Moments criterion yields inconsistent estimators of the break fractions, but minimization of the Two Stage Least Squares...

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Detalles Bibliográficos
Autores principales: Hall, Alastair R., Han, Sanggohn, Boldea, Otilia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: North-Holland Pub. Co.] 2012
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3688356/
https://www.ncbi.nlm.nih.gov/pubmed/23805021
http://dx.doi.org/10.1016/j.jeconom.2012.05.006

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3688356/
https://www.ncbi.nlm.nih.gov/pubmed/23805021
http://dx.doi.org/10.1016/j.jeconom.2012.05.006

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