We are grateful to Denise Osborn and Eric Renault for valuable comments and to Nikolaos Sakkas for assistance with the computations. The paper has also benefited from the comments of a co-editor and three anonymous referees. An earlier version of this paper was circulated under the title...

In this paper, we present a limiting distribution theory for the break point estimator in a linear regression model estimated via Two Stage Least Squares under two different scenarios regarding the magnitude of the parameter change between regimes. First, we consider the case where the parameter...

This dissertation relates to three recent methods of instrument selection in econometrics, namely, the Canonical Correlations Information Criterion (CCIC), the Relevant Moments Selection Criterion (RMSC) and the approximate Mean Square Error Criterion (MSE). Usual canonical correlations measure...

GMM provides a computationally convenient estimation method and the resulting estimator can be shown to be consistent and asymptotically normal under the fairly moderate regularity conditions. It is widely known that the information content in the population moment condition has impacts on the...

The role played by financial intermediaries and banks in modern economies is undeniably critical. However, explaining their importance in a theoretical general equilibrium framework presents some challenges. If firms and households have unrestricted access to complete financial markets, then at...

In this thesis, we extend Bai and Perron's (1998, Econometrica, pp. 47-78) method fordetecting multiple breaks to nonlinear models. To that end, we consider an unstable univariatenonlinear least squares (NLS) model with a limited number of parameter shifts occurring atunknown dates. In our...