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dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorYamamoto, Yoheien_US
dc.date.accessioned2018-01-23T19:44:13Z
dc.date.available2018-01-23T19:44:13Z
dc.date.issued2014-04-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000337695700008&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationPierre Perron, Yohei Yamamoto. 2014. "A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS." ECONOMETRIC THEORY, Volume 30, Issue 2, pp. 491 - 507 (17).
dc.identifier.issn0266-4666
dc.identifier.issn1469-4360
dc.identifier.urihttps://hdl.handle.net/2144/26282
dc.description.abstractThis note provides a simple proof for the problem of estimating and testing for multiple breaks in a single equation framework with regressors that are endogenous. We show based on standard assumptions about the regressors, instruments, and errors that the second-stage regression of the instrumental variable procedure involves regressors and errors that satisfy all the assumptions in Perron and Qu (2006, Journal of Econometrics 134, 373–399) so that the results about consistency, rate of convergence and limit distributions of the estimates of the break dates, in addition to the limit distributions of the tests, are obtained as simple consequences. The results are obtained within a unified framework for various cases about the nature of the reduced form: stable, no structural changes but time variations in the parameters, structural changes at dates that are common to those of the structural form, and structural changes occurring at arbitrary dates.en_US
dc.description.sponsorshipThis is a revised version of parts of a paper previously circulated under the title "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors." Perron acknowledges financial support for this work from the National Science Foundation under grant SES-0649350. We are grateful to Zhongjun Qu, two referees, the co-editor Robert Taylor and the editor Peter C. B. Phillips for useful comments. Address correspondence to Pierre Perron, Department of Economics, Boston University, 270 Bay State Rd., Boston, MA, 02215, USA; e-mail: (perron@bu.edu). (SES-0649350 - National Science Foundation)en_US
dc.format.extent491 - 507 (17)en_US
dc.languageEnglish
dc.publisherCAMBRIDGE UNIV PRESSen_US
dc.relation.ispartofECONOMETRIC THEORY
dc.rights© Cambridge University Press 2013en_US
dc.subjectSocial sciencesen_US
dc.subjectScience & technologyen_US
dc.subjectPhysical sciencesen_US
dc.subjectEconomicsen_US
dc.subjectMathematics, interdisciplinary applicationsen_US
dc.subjectSocial sciences, mathematical methodsen_US
dc.subjectStatistics & probabilityen_US
dc.subjectBusiness & economicsen_US
dc.subjectMathematicsen_US
dc.subjectMathematical methods in social sciencesen_US
dc.subjectUnit-root testsen_US
dc.subjectLinear-modelsen_US
dc.subjectStructural changeen_US
dc.subjectInstrument variablesen_US
dc.subjectParameter variationsen_US
dc.subjectEconometricsen_US
dc.titleA note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLSen_US
dc.typeArticleen_US
dc.identifier.doi10.1017/S0266466613000388
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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