Inference regarding multiple structural changes in linear models with endogenous regressors

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 “Inference regarding multiple structural changes in linear models estimated via 2SLS” which was presented at the World Congress of the Econometric Society, London, August 19-24, 2005, the Triangle Econometrics Conference, RTP, NC, December 2, 2005, CIREQ Conference on Generalized Method of Moments, Montreal, November 16-17, 2007, the ESRC Econometrics group seminar at the Institute of Fiscal Studies, London, the London-Oxbridge Time Series Workshop and at seminars at Erasmus University and the Universities of Birmingham and Warwick. We are also very grateful to Chengsi Zhang and Denise Osborn for providing us with the data used in the empirical example. The first author acknowledges the support of the ESRC grant RES-062-23-1351.