Inference regarding multiple structural changes in linear models with endogenous regressors.
J Econom
; 170(2): 281-302, 2012 Oct.
Article
em En
| MEDLINE
| ID: mdl-23805021
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.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Prognostic_studies
Idioma:
En
Revista:
J Econom
Ano de publicação:
2012
Tipo de documento:
Article
País de afiliação:
Reino Unido
País de publicação:
HOLANDA
/
HOLLAND
/
NETHERLANDS
/
NL
/
PAISES BAJOS
/
THE NETHERLANDS