التفاصيل البيبلوغرافية
| العنوان: |
Bootstrapping Structural Change Tests |
| المؤلفون: |
Boldea, Otilia, Cornea-Madeira, Adriana, Hall, Alastair R. |
| المصدر: |
Journal of Econometrics, 2019 |
| سنة النشر: |
2018 |
| مصطلحات موضوعية: |
Economics - Econometrics |
| الوصف: |
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. |
| نوع الوثيقة: |
Working Paper |
| DOI: |
10.1016/j.jeconom.2019.05.019 |
| URL الوصول: |
http://arxiv.org/abs/1811.04125 |
| رقم الانضمام: |
edsarx.1811.04125 |
| قاعدة البيانات: |
arXiv |