Home  >>  Archives  >>  Volume 13 Number 4  >>  st0320

The Stata Journal
Volume 13 Number 4: pp. 836-861

Subscribe to the Stata Journal

Parametric inference using structural break tests

Zachary L. Flynn
University of Wisconsin–Madison
Madison, WI
Leandro M. Magnusson
University of Western Australia
Crawley, Australia
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.
Buy article (PDF): $11.75 View cart
Buy entire issue (PDF): $24.75

View all articles by these authors: Zachary L. Flynn, Leandro M. Magnusson

View all articles with these keywords: genstest, condivreg, ivregress, ivreg2, gmm, qll, generalized method of moments, structural change, weak instruments, hypothesis testing, confidence sets

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS