Hall, Alastair R.; Han, Sanggohn; Boldea, Otilia - Volkswirtschaftliche Fakultät, … - 2008
In this paper, we extend Bai and Perron’s (1998, Econometrica, p.47-78) framework for multiple break testing to linear models estimated via Two Stage Least Squares (2SLS). Within our framework, the break points are estimated simultaneously with the regression parameters via minimization of the...