Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors

By Hall Alastair R., Han Sanggohn, and Boldea Otilia
Journal of Econometrics (2012)

  • Otilia Boldea

    Tilburg University

    Netherlands

Created

October 1, 2013

Last update

October 1, 2013

Software

Matlab

Ranking

75

Visits

2109

Downloads

91

Description

This code consistently estimates multiple breaks in linear models with endogenous regressors, via the 2SLS criterion. It contains both an artificially generated DGP and real data to estimate break in the New Keynesian Phillips curve for US. Please read the readme file in the zip file attached for more info.

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