Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors
Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors
By Alastair R Hall, Sanggohn Han, and Otilia Boldea
Journal of Econometrics (2012)
Abstract Paper

Otilia  Boldea

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This code consistently estimates multiple breaks in linear models with endogenous regressors, via the 2SLS criterion. It contains both an artificially generated DGP and real data to estimate break in the New Keynesian Phillips curve for US. Please read the readme file in the zip file attached for more info.
Created
November 08, 2012
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Matlab R2012b
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November 09, 2012
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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.
Hall, R. A., S. Han, and O. Boldea, "Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors", Journal of Econometrics , 170, 281-302.
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