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dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorYamamoto, Yoheien_US
dc.date.accessioned2018-01-23T19:38:41Z
dc.date.available2018-01-23T19:38:41Z
dc.date.issued2015-02-13
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000349097900006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationPierre Perron, Yohei Yamamoto. 2015. "Using OLS to estimate and test for structural changes in models with endogenous regressors." JOURNAL OF APPLIED ECONOMETRICS, Volume 30, Issue 1, pp. 119 - 144 (26).
dc.identifier.issn0883-7252
dc.identifier.issn1099-1255
dc.identifier.urihttps://hdl.handle.net/2144/26281
dc.description.abstractWe consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We show that even in the presence of endogenous regressors it is still preferable, in most cases, to simply estimate the break dates and test for structural change using the usual ordinary least squares (OLS) framework. Except for some knife-edge cases, it delivers estimates of the break dates with higher precision and tests with higher power compared to those obtained using an instrumental variable (IV) method. Also, the OLS method avoids potential weak identification problems caused by weak instruments. To illustrate the relevance of our theoretical results, we consider the stability of the New Keynesian hybrid Phillips curve. IV-based methods only provide weak evidence of instability. On the other hand, OLS-based ones strongly indicate a change in 1991:Q1 and that after this date the model loses all explanatory power.en_US
dc.format.extent119 - 144 (26)en_US
dc.languageEnglish
dc.publisherWILEY-BLACKWELLen_US
dc.relation.ispartofJOURNAL OF APPLIED ECONOMETRICS
dc.subjectSocial sciencesen_US
dc.subjectEconomicsen_US
dc.subjectSocial sciences, mathematical methodsen_US
dc.subjectBusiness & economicsen_US
dc.subjectMathematical methods in social sciencesen_US
dc.subjectInflationen_US
dc.subjectStructural changeen_US
dc.subjectInstrument variablesen_US
dc.subjectParameter variationsen_US
dc.subjectPhillips curveen_US
dc.subjectApplied economicsen_US
dc.subjectEconometricsen_US
dc.titleUsing OLS to estimate and test for structural changes in models with endogenous regressorsen_US
dc.typeArticleen_US
dc.identifier.doi10.1002/jae.2320
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusPublisheden_US


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