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...

There is compelling evidence that many macroeconomic and financial variables are not generated by linear models. This evidence is based on testing linearity against either smooth nonlinearity or piece-wise linearity, but there is no framework that encompasses both. This paper provides an...

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...