In this paper, we extend Bai and Perron's (1998, Econometrica, pp. 47-78) method for detecting multiple breaks to nonlinear models. To that end, we consider a nonlinear model that can be estimated via nonlinear least squares (NLS) and features a limited number of parameter shifts occurring at...

We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.

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...

We analyze the limiting distribution of the Rivers and Vuong (2002, <italic>Econometrics Journal</italic> 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the...