Otilia Boldea, Adriana Cornea-Madeira, Alastair R. Hall
arXiv 9 Nov 2018 · Econometrics · publishedJournal of Econometrics (2019) · 13 citations (OpenAlex)
arXiv:1811.04125 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Liu (1988) `Bootstrap procedure under some non-i.i.d | 1.000 | 7 | 4 | 100% |
| 2 | Hansen (2000) `Testing for structural change in conditional models' | 0.874 | 12 | 2 | 100% |
| 3 | Goncalves and Kilian (2004) `Bootstrapping autoregressions with conditional heteroskedasticity of unknown form' | 0.843 | 3 | 3 | 100% |
| 4 | Perron and Yamamoto (2014) `A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS' | 0.811 | 4 | 2 | 100% |
| 5 | Bai and Perron (1998) `Estimating and testing linear models with multiple structural changes' | 0.794 | 10 | 3 | 50% |
| 6 | Hall, Han, and Boldea (2012) `Inference regarding multiple structural changes in linear models with endogenous regressors' self | 0.606 | 6 | 2 | 33% |
| 7 | Boswijk, Cavaliere, Rahbek, and Taylor (2016) `Inference on co-integration parameters in heteroskedastic vector autoregressions' | 0.585 | 4 | 3 | 25% |
| 8 | Chang and Perron (2018) `A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression mod… | 0.585 | 3 | 1 | 100% |
| 9 | Davidson (2016) `Computing, the bootstrap and economics' | 0.511 | 2 | 1 | 100% |
| 10 | Perron and Yamamoto (2015) `Using OLS to estimate and test for structural changes in models with endogenous regressors' | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 38 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Unlocking the Regression Space | 0.737 | 3 | 2 |
| 2 | Testing for a Threshold in Models with Endogenous Regressors | 0.644 | 2 | 2 |
| 3 | Predictability Tests Robust against Parameter Instability | 0.405 | 1 | 1 |
| 4 | Efficient two-sample instrumental variable estimators with change points and near-weak identification | 0.405 | 1 | 1 |