References—83

The first two statistics have an asymptotic x2 distribution with (m – 1)k degrees of freedom, where m is the number of subsamples, and k is the number of coefficients in the original equation. The O-statistic also follows an asymptotic x2 distribution, but with

2 ¥ (q – (m – 1)k) degrees of freedom.

To apply the GMM Breakpoint test, click on View/Breakpoint Test…. In the dialog box that appears simply enter the dates or observation numbers of the breakpoint you wish to test.

References

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Anderson, T.W. and H. Rubin (1950). “The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations,” The Annals of Mathematical Statistics, 21(4), 570-582.

Andrews, D.W.K. (1999). “Consistent Moment Selection Procedures for Generalized Method of Moments Estimation,” Econometrica, 67(3), 543-564.

Andrews, D.W.K. (Oct. 1988). “Inference in Nonlinear Econometric Models with Structural Change,” The Review of Economic Studies, 55(4), 615-639.

Anderson, T. W. and H. Rubin (1949). “Estimation of the parameters of a single equation in a complete system of stochastic equations,” Annals of Mathematical Statistics, 20, 46–63.

Arellano, M. and S. Bond (1991). “Some Tests of Specification For Panel Data: Monte Carlo Evidence and an Application to Employment Equations,” Review of Economic Studies, 38, 277-297.

Bekker, P. A. (1994). “Alternative Approximations to the Distributions of Instrumental Variable Estimators,” Econometrica, 62(3), 657-681.

Cragg, J.G. and S. G. Donald (1993). “Testing Identifiability and Specification in Instrumental Variable Models,” Econometric Theory, 9(2), 222-240.

Eichenbaum, M., L.P. Hansen, and K.J. Singleton (1988). “A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty,” The Quarterly Journal of Economics, 103(1), 51-78.

Hahn, J. and A. Inoue (2002). “A Monte Carlo Comparison of Various Asymptotic Approximations to the Distribution of Instrumental Variables Estimators,” Econometric Reviews, 21(3), 309-336

Hall, A.R., A. Inoue, K. Jana, and C. Shin (2007). “Information in Generalized Method of Moments Estimation and Entropy-based Moment Selection,” Journal of Econometrics, 38, 488-512.

Hansen, C., J. Hausman, and W. Newey (2006). “Estimation with Many Instrumental Variables,” MIMEO.

Hausman, J., J.H. Stock, and M. Yogo (2005). “Asymptotic Properties of the Han-Hausman Test for Weak Instruments,” Economics Letters, 89, 333-342.

Moreira, M.J. (2001). “Tests With Correct Size When Instruments Can Be Arbitrarily Weak,” MIMEO.

Stock, J.H. and M. Yogo (2004). “Testing for Weak Instruments in Linear IV Regression,” MIMEO.

Stock, J.H., J.H. Wright, and M. Yogo (2002). “A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments,” Journal of Business & Economic Statistics, 20(4), 518-529.