Perron, Pierre; Yamamoto, Yohei - In: Journal of Applied Econometrics 30 (2015) 1, pp. 119-144
We consider the problem of estimating and testing for multiple breaks in a single‐equation framework with regressors that are endogenous, i.e. correlated with the errors. We show that even in the presence of endogenous regressors it is still preferable, in most cases, to simply estimate the...