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Development of an Individual-Tree Basal Area Increment Model using a Linear Mixed-Effects Approach

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Inference regarding multiple structural changes in linear models with endogenous regressors.

Alastair R Hall¹, Sanggohn Han, Otilia Boldea

¹Department of Economics, University of Manchester, UK.

Journal of Econometrics

|June 28, 2013

Summary

This summary is machine-generated.

This study addresses parameter changes in linear models with endogenous regressors. Two Stage Least Squares (2SLS) provides consistent estimators, unlike Generalized Method of Moments, for break fractions.

Keywords:

Instrumental variables estimation Multiple break points Structural change

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Area of Science:

Econometrics
Time Series Analysis
Statistical Modeling

Background:

Linear models with endogenous regressors are common in econometrics.
Detecting and estimating multiple parameter changes (structural breaks) at unknown times is a significant challenge.
Existing methods may yield inconsistent results for break fraction estimation in such models.

Purpose of the Study:

To develop a robust methodology for estimating and inferring parameters in linear models with endogenous regressors and multiple unknown structural breaks.
To compare the performance of Generalized Method of Moments (GMM) and Two Stage Least Squares (2SLS) for estimating break fractions.
To provide a framework applicable to both stable and unstable reduced form cases.

Main Methods:

The study employs Two Stage Least Squares (2SLS) for parameter estimation and inference.
Minimization of the 2SLS criterion is used to obtain consistent estimators of break fractions.
The analysis considers models where the reduced form of the equation system is either stable or unstable.

Main Results:

Minimizing the Generalized Method of Moments (GMM) criterion leads to inconsistent estimators of the break fractions.
Minimizing the Two Stage Least Squares (2SLS) criterion yields consistent estimators for these break fractions.
The proposed 2SLS-based methodology is effective for models with multiple structural breaks and endogenous regressors.

Conclusions:

The 2SLS approach is recommended for accurate estimation of structural break parameters in linear models with endogenous regressors.
The findings offer a reliable method for analyzing economic models with regime shifts.
The methodology is validated through an application to the New Keynesian Phillips Curve in the US economy.