کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096199 1478578 2012 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Inference regarding multiple structural changes in linear models with endogenous regressors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Inference regarding multiple structural changes in linear models with endogenous regressors
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 281-302
نویسندگان
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