Hall, Alastair R. and Han, Sanggohn and Boldea, Otilia (2008): Inference regarding multiple structural changes in linear models estimated via two stage least squares.

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Abstract
In this paper, we extend Bai and Perron’s (1998, Econometrica, p.4778) framework for multiple break testing to linear models estimated via Two Stage Least Squares (2SLS). Within our framework, the break points are estimated simultaneously with the regression parameters via minimization of the residual sum of squares on the second step of the 2SLS estimation. We establish the consistency of the resulting estimated break point fractions. We show that various Fstatistics for structural instability based on the 2SLS estimator have the same limiting distribution as the analogous statistics for OLS considered by Bai and Perron (1998). This allows us to extend Bai and Perron’s (1998) sequential procedure for selecting the number of break points to the 2SLS setting. Our methods also allow for structural instability in the reduced form that has been identified a priori using databased methods. As an empirical illustration, our methods are used to assess the stability of the New Keynesian Phillips curve.
Item Type:  MPRA Paper 

Original Title:  Inference regarding multiple structural changes in linear models estimated via two stage least squares 
Language:  English 
Keywords:  unknown break points; structural change; instrumental variables; endogenous regressors; structural stability tests; new Keynesian Phillips curve 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  9251 
Depositing User:  Otilia Boldea 
Date Deposited:  21. Jun 2008 02:26 
Last Modified:  11. Mar 2015 15:47 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/9251 