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1、EstimatingandTestingMultipleStructuralChangesinModelswithEndogenousRegressors∗PierrePerron†YoheiYamamoto‡BostonUniversityUniversityofAlbertaJune16,2008;Revised:December3,2009AbstractWeconsidertheproblemofestimatingandtestingformultiplebreaksinasingleequationframewo
2、rkwithregressorsthatareendogenous,i.e.,correlatedwiththeerrors.First,weshowbasedonstandardassumptionsabouttheregressors,instrumentsanderrorsthatthesecondstageregressionoftheinstrumentalvariable(IV)procedureinvolvesregressorsanderrorsthatsatisfyalltheassumptionsinPe
3、rronandQu(2006)sothattheresultsaboutconsistency,rateofconvergenceandlimitdistributionsoftheestimatesofthebreakdates,aswellasthelimitdistributionsofthetests,areobtainedassimpleconsequences.Moreimportantlyfromapracticalperspective,weshowthateveninthepresenceofendogen
4、ousregressors,itisstillpreferabletosimplyestimatethebreakdatesandtestforstructuralchangeusingtheusualordinaryleast-squares(OLS)framework.Inmostcases,itdeliversestimatesofthebreakdateswithhigherprecisionandtestswithhigherpowercomparedtothoseobtainedusinganIVmethod.T
5、oillustratetherelevanceofourtheoreticalresults,weconsiderthestabilityoftheNewKeynesianhybridPhillipscurve.IV-basedmethodsdonotindicateanyinstability.Ontheotherhand,OLS-basedonesstronglyindicateachangein1991:1andthatafterthisdatethemodelloosesallexplanatorypower.JEL
6、ClassificationNumber:C22.Keywords:structuralchange,instrumentvariables,parametervariations,PhillipsCurve.∗PerronacknowledgesfinancialsupportforthisworkfromtheNationalScienceFoundationunderGrantSES-0649350.WearegratefultoZhongjunQuandtworefereesforusefulcomments.†Depa
7、rtmentofEconomics,BostonUniversity,270BayStateRd.,Boston,MA,02215(perron@bu.edu).‡UniversityofAlbertaSchoolofBusiness,BusinessBuilding,Edmonton,AB,T6G2R6Canada(yohei.yamamoto@ualberta.ca).1IntroductionBoththestatisticsandeconometricsliteraturecontainavastamountofwo
8、rkonissuesre-latedtostructuralchangeswithunknownbreakdates,mostofitspecificallydesignedforthecaseofasinglechange(see,Perron,2006,foradetailedrevie
