Hall, Alastair R. and Han, Sanggohn and Boldea, Otilia (2008): Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS.

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Abstract
In this paper, we present a limiting distribution theory for the break point estimator in a linear regression model estimated via Two Stage Least Squares under two different scenarios regarding the magnitude of the parameter change between regimes. First, we consider the case where the parameter change is of fixed magnitude; in this case the resulting distribution depends on distribution of the data and is not of much practical use for inference. Second, we consider the case where the magnitude of the parameter change shrinks with the sample size; in this case, the resulting distribution can be used to construct approximate large sample confidence intervals for the break point. The finite sample performance of these intervals are analyzed in a small simulation study and the intervals are illustrated via an application to the New Keynesian Phillips curve.
Item Type:  MPRA Paper 

Original Title:  Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS 
Language:  English 
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 
Item ID:  9472 
Depositing User:  Otilia Boldea 
Date Deposited:  08. Jul 2008 00:20 
Last Modified:  13. May 2015 09:36 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/9472 