Parametric inference using structural break tests

Z.L. Flynn, Leandro Magnusson

Research output: Contribution to journalArticle

Abstract

We present methods for testing hypotheses and estimating confidence sets for structural parameters of economic models in the presence of instabilities and breaks of unknown form. These methods constructively explore information generated by changes in the data-generating process to improve the inference of parameters that remain stable over time. The proposed methods are suitable for models cast in the generalized method of moments framework, which makes their application wide. Moreover, they are robust to the presence of weak instruments. The genstest command in Stata implements these methods to conduct hypothesis tests and to estimate confidence sets. © 2013 StataCorp LP.
Original languageEnglish
Pages (from-to)836-861
JournalSTATA JOURNAL
Volume13
Issue number4
Publication statusPublished - 2013

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Parametric Inference
Structural Breaks
Confidence Set
Weak Instruments
Generalized Method of Moments
Testing Hypotheses
Economic Model
Hypothesis Test
Structural Parameters
Unknown
Estimate

Cite this

Flynn, Z.L. ; Magnusson, Leandro. / Parametric inference using structural break tests. In: STATA JOURNAL. 2013 ; Vol. 13, No. 4. pp. 836-861.
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Parametric inference using structural break tests. / Flynn, Z.L.; Magnusson, Leandro.

In: STATA JOURNAL, Vol. 13, No. 4, 2013, p. 836-861.

Research output: Contribution to journalArticle

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