Parametric inference using structural break tests
Abstract. We present methods for testing hypotheses and estimating confidence
sets for structural parameters of economic models in the presence of instabilities
and breaks of unknown form. These methods constructively explore information
generated by changes in the data-generating process to improve the inference of
parameters that remain stable over time. The proposed methods are suitable for
models cast in the generalized method of moments framework, which makes their
application wide. Moreover, they are robust to the presence of weak instruments.
The genstest command in Stata implements these methods to conduct hypothesis
tests and to estimate confidence sets.
View all articles by these authors:
Zachary L. Flynn, Leandro M. Magnusson
View all articles with these keywords:
genstest, condivreg, ivregress, ivreg2, gmm, qll, generalized method of moments, structural change, weak instruments, hypothesis testing, confidence sets
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