Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
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Publication:5080135
DOI10.1080/07474938.2011.607082zbMath1491.62184OpenAlexW2113535421MaRDI QIDQ5080135
Sanggohn Han, Otilia Boldea, Alastair R. Hall
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/9472/1/MPRA_paper_9472.pdf
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)
Related Items (5)
Multi-Threshold Structural Equation Model ⋮ Threshold regression with endogeneity ⋮ Inconsistency of 2SLS estimators in threshold regression with endogeneity ⋮ Structural change estimation in time series regressions with endogenous variables ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points
Cites Work
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- Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Estimating and Testing Linear Models with Multiple Structural Changes
- Inference in Nonlinear Econometric Models with Structural Change
- Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
- Estimating and Testing Structural Changes in Multivariate Regressions
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