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PIVOTAL STRUCTURAL CHANGE TESTS IN LINEARSIMULTANEOUS EQUATIONS WITH WEAKIDENTIFICATION

Published online by Cambridge University Press:  27 August 2010

Mehmet Caner
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Abstract

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Asymptotically pivotal structural change tests aredeveloped for simultaneous equations with weaklyidentified parameters, extending the boundedlypivotal tests of Caner (2007, Journal ofEconometrics 137, 28–67) by means of asimple reparametrization of the model.

Information

Type
Brief Report
Information
Econometric Theory , Volume 27 , Issue 2 , April 2011 , pp. 413 - 426
Copyright
Copyright © Cambridge University Press 2010

Footnotes

I thank editor Peter C.B. Phillips, co-editorRichard J. Smith, and the two anonymous refereesfor their comments that improved the papersubstantially.

References

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