Pivotal Structural Change Tests in Linear Simultaneous Equations with Weak Identification
نویسنده
چکیده
This paper develops asymptotically pivotal structural change tests in simultaneous equations with weakly identified parameters. In former literature, Caner (2007) proposes boundedly pivotal structural change tests when there are weakly identified parameters. The tests developed in this article are new, and benefit from reparameterizing the model. This results in asymptotically pivotal tests. Simulation exercise compares the pivotal and boundedly pivotal tests.
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