Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors

Perron, Pierre; Yamamoto, Yohei

doi:10.1002/jae.2320

Cited by 40 publications

(42 citation statements)

References 20 publications

(56 reference statements)

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“…An alternative, more powerful, approach is to use the …xed regressors bootstrap method of Hansen (2000). See Perron and Yamamoto (2012) for its usefulness in providing tests with correct size.…”

Section: Testing For Structural Changementioning

confidence: 99%

A Note on Estimating and Testing for Multiple Structural Changes in Models With Endogenous Regressors via 2sls

Perron

Yamamoto

2013

Econom. Theory

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This 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 (IV) procedure involves regressors and errors that satisfy all the assumptions in Perron and Qu (2006) so that the results about consistency, rate of convergence and limit distributions of the estimates of the break dates, as well as the limit distributions of the tests, are obtained as simple consequences. The results are obtained within a uni…ed 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. JEL Classi…cation Number: C22.

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Section: Testing For Structural Changementioning

confidence: 99%

A Note on Estimating and Testing for Multiple Structural Changes in Models With Endogenous Regressors via 2sls

Perron

Yamamoto

2013

Econom. Theory

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“…In the notation of (1), x = (D; x 0 ) 0 , q = inc, where x is X excluding the constant and inc. 2 4 This result is not correct when D is continuous or can take more than two values when it is discrete. Note that Perron and Yamamoto (2012b) use OLS to estimate the structural change points even when D is continuous and the resulting estimates are generally inconsistent; see Yu (2015) for more discussions on the consistency of the LSE for the threshold points in the presence of endogeneity.…”

Section: Empirical Applicationmentioning

confidence: 99%

Threshold regression with endogeneity

Phillips

2018

Journal of Econometrics

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This paper studies estimation in threshold regression with endogeneity. Three key results di¤er from those in regular models. First, both the threshold point and the threshold e¤ect parameters are shown to be identi…ed without the need for instrumentation. Second, in partially linear threshold models, both parametric and nonparametric components rely on the same data, which prima facie suggests identi…cation failure. But, as shown here, the discontinuity structure of the threshold itself supplies identifying information for the parametric coe¢ cients without the need for extra randomness in the regressors. Third, instrumentation plays di¤erent roles in the estimation of the system parameters, delivering identi…cation for the structural coe¢ cients in the usual way, but raising convergence rates for the threshold e¤ect parameters and improving e¢ ciency for the threshold point. Simulation studies corroborate the theory and the asymptotics. An empirical application is conducted to explore the e¤ects of 401(k) retirement programs on savings, illustrating the relevance of threshold models in treatment e¤ects evaluation in the presence of endogeneity.

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“…Interestingly, we find that it also works for models with endogenous regressors under suitable conditions despite the fact that it does not utilize any IVs. Perron and Yamamoto (2013) similarly find that leastsquares-based tests work for regressions with endogeneity and that sometimes even outperform tests based on 2sls. With a BIC-type model selection procedure, GFL can correctly determine the unknown number of breaks with probability approaching one (w.p.a.1) and estimate the break dates accurately as in Bai and Perron (1998).…”

Section: Introductionmentioning

confidence: 77%

Structural change estimation in time series regressions with endogenous variables

Qian

2014

Economics Letters

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Highlights We propose to adopt the group fused lasso to estimate regression models with endogeneity and an unknown number of breaks. We propose an information criterion to determine the number of breaks correctly with probability approaching one. Post-Lasso GMM estimation can be conducted as usual.  Simulations are done in comparison with some existing tests.  We apply our method to study the forward-looking monetary policy rule of the US from 1960 to 2012 and detect two breaks. AbstractWe propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.JEL Classification: C13, C22

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Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors

Cited by 40 publications

References 20 publications

A Note on Estimating and Testing for Multiple Structural Changes in Models With Endogenous Regressors via 2sls

A Note on Estimating and Testing for Multiple Structural Changes in Models With Endogenous Regressors via 2sls

Threshold regression with endogeneity

Structural change estimation in time series regressions with endogenous variables

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