Hall, Alastair R.; Han, Sanggohn; Boldea, Otilia - In: Journal of Econometrics 170 (2012) 2, pp. 281-302
This paper considers the linear model with endogenous regressors and multiple changes in the parameters at unknown times. It is shown that minimization of a Generalized Method of Moments criterion yields inconsistent estimators of the break fractions, but minimization of the Two Stage Least...