Inference regarding multiple structural changes in linear models with endogenous regressors

O. Boldea, A.R. Hall, S. Han

Research output: Contribution to journalArticleScientificpeer-review

29 Citations (Scopus)

Abstract

This paper considers the linear model with endogenous regressors and multiple changes in the parameters at unknown times. It is shown that minimization of a Generalized Method of Moments criterion yields inconsistent estimators of the break fractions, but minimization of the Two Stage Least Squares (2SLS) criterion yields consistent estimators of these parameters. We develop a methodology for estimation and inference of the parameters of the model based on 2SLS. The analysis covers the cases where the reduced form is either stable or unstable. The methodology is illustrated via an application to the New Keynesian Phillips Curve for the US.
Original languageEnglish
Pages (from-to)281-302
JournalJournal of Econometrics
Volume170
Issue number2
Early online date2 Jun 2012
DOIs
Publication statusPublished - 2012

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