PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION

Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, <italic>Journal of Econometrics</italic> 137, 28–67) by means of a simple reparametrization of the model.

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Year of publication:	2011
Authors:	Caner, Mehmet
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 27.2011, 02, p. 413-426
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009002913