Boldea, Otilia, Cornea-Madeira, Adriana orcid.org/0000-0002-0889-7145 and Hall, Alastair (2019) Bootstrapping Structural Change Tests. Journal of Econometrics. pp. 359-397. ISSN 0304-4076
Abstract
This paper demonstrates the asymptotic validity of methods based on the wild recursive and wild fixed bootstraps for testing hypotheses about discrete parameter change in linear models estimated via Two Stage Least Squares. The framework allows for the errors to exhibit conditional and/or unconditional heteroscedasticity, and for the reduced form to be unstable. Simulation evidence indicates the bootstrap tests yield reliable inferences in the sample sizes often encountered in macroeconomics. If the errors exhibit unconditional heteroscedasticity and/or the reduced form is unstable then the bootstrap methods are particularly attractive because the limiting distributions of the test statistics are not pivotal.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 The Author(s). |
Keywords: | Heteroskedasticity,Instrumental variables estimation,Multiple break points,Two-Stage Least Squares,Wild bootstrap |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 28 May 2019 12:20 |
Last Modified: | 16 Oct 2024 15:43 |
Published Version: | https://doi.org/10.1016/j.jeconom.2019.05.019 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.jeconom.2019.05.019 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:146607 |
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