Economics Seminars: Otila Boldea (Tilburg)

20 November 2019, 1.00 PM - 20 November 2019, 2.00 PM

Otila Boldea (Tilburg)

1B6, Priory Road Complex

Title: Bootstrapping Structural Change Tests

Abstract: This paper demonstrates the asymptotic validity of methods based on the wild recursive and wild fixed bootstraps for testing hypotheses about discrete parameter change in linear models estimated via Two Stage Least Squares. The framework allows for the errors to exhibit conditional and/or unconditional heteroskedasticity, and for the reduced form to be unstable. Simulation evidence indicates the bootstrap tests yield reliable inferences in the sample sizes often encountered in macroeconomics. If the errors exhibit unconditional heteroskedasticity and/or the reduced form is unstable then the bootstrap methods are particularly attractive because the limiting distributions of the test statistics are not pivotal.

 

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