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• W2600638501 abstract "This paper analyses the use of bootstrap methods to test for parameter change in linear models estimated via Two Stage Least Squares (2SLS). Two types of test are considered: one where the null hypothesis is of no change and the alternative hypothesis involves discrete change at k unknown break-points in the sample; and a second test where the null hypothesis is that there is discrete parameter change at l break-points in the sample against an alternative in which the parameters change at l + 1 break-points. In both cases, we consider inferences based on a sup-Wald-type statistic using either the wild recursive bootstrap or the wild fixed bootstrap. We establish the asymptotic validity of these bootstrap tests under a set of general conditions that allow the errors to exhibit conditional and/or unconditional heteroskedasticity, and report results from a simulation study that indicate the tests yield reliable inferences in the sample sizes often encountered in macroeconomics. The analysis covers the cases where the first-stage estimation of 2SLS involves a model whose parameters are either constant or themselves subject to discrete parameter change. If the errors exhibit unconditional heteroskedasticity 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." @default.
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• W2600638501 date "2019-12-01" @default.
• W2600638501 modified "2023-09-24" @default.
• W2600638501 title "Bootstrapping structural change tests" @default.
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• W2600638501 doi "https://doi.org/10.1016/j.jeconom.2019.05.019" @default.
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