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

DOI10.1017/S0266466613000388zbMath1314.62155MaRDI QIDQ2878815

Pierre Perron, Yohei Yamamoto

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Related Items (14)

Bootstrap confidence intervals for a break date in linear regressions ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ Multi-Threshold Structural Equation Model ⋮ Threshold regression with endogeneity ⋮ Pre and post break parameter inference ⋮ Testing for common breaks in a multiple equations system ⋮ A model-free consistent test for structural change in regression possibly with endogeneity ⋮ Bootstrapping structural change tests ⋮ ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS ⋮ Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements ⋮ Bootstrap test for a structural break under possible heteroscedasticity ⋮ Modeling and testing smooth structural changes with endogenous regressors ⋮ A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models ⋮ Structural change estimation in time series regressions with endogenous variables

Cites Work

• Estimating restricted structural change models
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Testing for structural change in conditional models
• WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
• TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• Estimating and Testing Linear Models with Multiple Structural Changes

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