Generalized method of moments
In: Advanced texts in econometrics
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In: Advanced texts in econometrics
In: World development: the multi-disciplinary international journal devoted to the study and promotion of world development, Band 158, S. 1-15
World Affairs Online
In: The Manchester School, Band 81, Heft S3, S. 1-2
ISSN: 1467-9957
In: The Manchester School, Band 81, Heft S3, S. 54-81
ISSN: 1467-9957
This paper investigates the usefulness of information criteria for inference on the number of structural breaks in a standard linear regression model. In particular, we propose a modified penalty function for such criteria, which implies each break is equivalent to estimation of three individual regression coefficients. AMonteCarlo analysis compares information criteria to sequential testing, with the modified Bayesian and Hannan–Quinn criteria performing well overall, for data‐generating processes both without and with breaks. The methods are also used to examine changes inEuro area monetary policy between 1971 and 2007.