Abstract
This paper develops asymptotically pivotal structural change tests in simultaneous equations with weakly identified parameters. In former literature, Caner (2007) proposes boundedly pivotal structural change tests when there are weakly identified parameters. The tests developed in this article are new, and benefit from reparameterizing the model. This basically results in asymptotically pivotal tests. To obtain these tests we benefit from the ideas in Moreira (2003). We show that similar tests for structural change can be built. We start with known change point and normal errors. Then we relax these to unknown change point with weakly dependent time series data in triangular array format. The limits are functionals of standardized tied-down Bessel processes. Simulation exercise compares the pivotal and boundedly pivotal tests.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
